پیش بینی ریسک نقدینگی با استفاده از تحلیل تمایلات خبری
الموضوعات :حامد میرشک 1 , امیر البدوی 2 , مهرداد کارگری 3 , محمد علی رستگار 4 , محمد طالبی 5
1 - دانشجو
2 - دانشگاه تربیت مدرس
3 - استاد دانشگاه
4 - استاد دانشگاه
5 - دانشگاه امام صادق
الکلمات المفتاحية: پيشبيني ریسک نقدینگي, یادگيري ماشين, تحليل تمایل, تحليل سناریو, روششناسي علم طراحي,
ملخص المقالة :
یکي از م شکلات ا سا س ي بانکهاي ایراني نبود فرآیند مدیریت ری سک با رویکردي آیندهنگر ا ست . از مهمترین این ری سک ها در بانک، ميتوان به ری سک نقدینگي ا شاره کرد ؛ بنابراین پيشبيني ری سک نقدینگي به مو ضوع ي مهم براي بانکها تبدیل شده ا س ت. روشهاي مرسوم اندازه گيري ریسک نقدینگي پيچيده، زمانبر و پرهزینه هستند که پيشبيني آن را نيز غير قابل دسترس نموده اس ت. پيشبيني ریسک نقدینگي در زمان مناسب ميتواند از بروز مشکلات یا بحرانهاي جدي در بانک جلوگيري نماید. در این مطالعه سعي شده است تا راهحلي نوآورانه براي پيشبيني ریسک نقدینگي بانک و سناریوهاي پيشرو با استفاده از رویکرد تحليل تمایلات خبري ارائه شود . از رویکرد تحليل تمایل اخبار پيرامون یکي از بانکهاي ایراني در را ستاي شنا سایي متغيرهاي کيفي پ ویا و مؤثر در ریسککک نقدینگي بهره برده شده تا روشي سادهتر و با کارایي بالاتر براي پيشبيني روند ریسک نقدینگي ارائه نماید. روش پيشنهادي سناریوهاي عملي را براي تص ميمگيرندگان ریسک بانکي در دنياي واقعي فراهم ميکند. س کناریوهاي ریسک نقدینگي به د ست آمده در مقای سه با سنار یوهاي رخ داده در بانک طبق د ستورالعمل کم يته بازل و نظر کار شنا سان بانک ي ارزیابي مي شوند تا از صحت پ يشبينيها و همسو یي آن اطمينان حاصل شود. نتيجه ارزیابي سنار یوهاي موردمطالعه بهصورت دورهاي حاکي از دقت نسبتاً بالا است. معيار دقت 1 پيشبيني در سککناریوهاي محتمل اسککتاراش شده از کميته بازل، 95.5 % و در سککناریوهاي برگرفته از نظرات خبرگان، 75 % است
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