جستجوی مقالات مرتبط با کلیدواژه « پوشش ریسک » در نشریات گروه « اقتصاد »

Considering the Tehran stock exchange’s status after the Covid-19 pandemic; it is essential to assess the role of different assets as a risk hedge and safe haven of the stock market during the pandemic. In this study, the trend of the gold and US dollar was evaluated and compared using EGARCH and quantile regression methods before (2018/6/19-2020/2/19) and after Covid-19 (2020/2/23-2021/10/12). According to the numerical results, although the Gold and US dollar performed very well as a safe haven for the stock market before Covid-19, they are not good safe havens in the Covid-19 pandemic. On the other hand, Gold has a positive relation with the stock market when the stock market collapses in the Covid-19 pandemic. Therefore, the gold is not an appropriate asset to hedge the risk of the stock market during the Covid-19 pandemic. However, the US dollar is better for stock market risk hedging in this period. Our results have revealed that the gold was a hedge for the stock market before Covid-19 pandemic. In this period, Gold had a negative relationship with the stock market in all conditions (except quantile 25% and 50%). Also, the US dollar could hedge the risk of the stock market before the Covid-19 pandemic in bearish, medium and bullish markets.

The development of Istisna securities as one of the Islamic financial instruments requires identifying and analyzing its risk. This article seeks to select the model and the optimal risk coverage solution in the operating models of Istisna securities. According to the findings, the selection of the optimal model in the risk coverage of Istisna securities has led to attracting liquidity of risk-averse groups of investors and will provide the financial resources needed by economic institutions in the community. Using a descriptive-analytical method, using the questionnaire tool and its distribution in the statistical community of scientific elites and financial market experts and specialists and utilizing the five-choice Likert spectrum this research has been proposed. The results show that among the operational models of Istisna securities, the Islamic Stock Exchange model is the best model. Among the risk hedging strategies, the central bank strategy and the commitment method can be recommended as the best strategies. 

Price fluctuation is one of the most important features of the energy market that leads to price risk and economic instability. In the financial market, one of the best uses of derivative securities is in hedging. The most common way of hedging in the investment is through appropriate derivative instruments. They include options, swaps, futures and forward contracts. Even though there are many criteria used in the derivation of the optimal hedge ratio, the minimum-variance (MV) hedge ratio considered by Johnson (1960) has been one of the most popular choices. The basic concept of the minimum variance hedging risk lies in the combination of investments in the spot and future markets in order to reduce value fluctuations. Thus, the optimal number of futures contracts that a person must hold to hedge against the risk of price fluctuation in the underlying assets can be obtained by calculating the optimal ratio of hedging risk. The literature shows that researchers mainly use future contracts to minimize the risk of price fluctuation in the spot market. Accordingly, in these studies, various econometric methods have been used to calculate the optimal hedging risk ratio. Also, in order to introduce the best hedging risk model, the performances of different models have been compared. The evaluation of hedging performance is based on the percentage reduction in spot variance compared to portfolio variance. Then, the purpose of this study is to choose an optimal model with the highest degree of hedging risk for the selected commodity.

Several techniques have been proposed in the literature to estimate the hedge ratio with index futures contracts.  Many practitioners and academicians have sought to solve the problem of how to calculate the optimal hedge ratio accurately. To achieve the goal, we compare the estimates of the hedge ratio from the ordinary least squares methods (OLS), autoregressive model (VAR/VECM), autoregressive conditional heteroscedasticity (ARCH/ GARCH) and copula. Also, to determine the changes in the optimal hedging risk ratio, we use the weekly time series of spot and future contract prices for crude oil and natural gas during the five-year period of 2013-2018. In the next step, the rolling window regression technique will be used to compare the performances of the studied models and select an efficient hedging risk model. The results of the weights for future by each of the four above-mentioned models will be used for hedging the spot prices of the two examined commodities. The obtained hedge ratios are applied on the real data in the following 20 weeks. Thus, the ability to reduce risk in every method is measured and compared during the specified period.

All the models are able to offer a significate reduction in the portfolio. The conventional approach to estimating the MV hedge ratio involves the regression of the changes in spot prices on the changes in future prices using the OLS technique. As we found, the minimum variance hedge ratio by the OLS method was 62% for crude oil and 37% for natural gas. However, for the OLS technique to be valid and efficient, the assumptions associated with the OLS regression must be satisfied. Thus, we use an autoregressive model (VAR/VECM). The optimal hedging risk ratio obtained from the VECM model is 98% for crude oil and 86% for natural gas. However, the OLS and VAR methods only capture the influence of two risk factors on stock returns in the mean on average but are not sufficient to capture the dependence structure in higher moments or tail dependence. The volatility clustering phenomenon and the existence of ARCH effects demonstrate that hedge funds volatility varies over time. Then, we use the conditional autoregressive model (GARCH). Furthermore, we utilize the copula method to capture the general dependence structure between the futures and spot prices. The copula method has been used for multivariate statistical modelling owing to its edibility and convenience to describe its ability to capture the nonlinear relationship of random variables. The copula approach allows us to model the marginal distributions of individual random variables and their dependence structure separately. Our finding show copula serves normally to hedge crude oil and natural gas at the rate of 98% and 93% respectively. These rates are the models for crude oil and natural gas copula at 98% and 94% respectively. In this paper, the efficiency of different models of the rolling window regression technique are compared. This section is the core of the research. The results of the effectiveness of the optimal hedging rates of the crude oil and natural gas market show that copula functions in both markets have been in better conditions than the other models. Thus, the result of the research indicates the high efficiency of the copula functions approach to calculate hedging risk rates.

The results show that modeling the relationship between the current and future prices in the form of copula functions is more efficient.

Futures are used as the most important risk hedge tools to reduce the risk of the crude oil market. The optimal hedging risk strategy is determined by calculating the optimal hedging risk ratio. It is important to determine the relationship between the time series of spot prices and futures in calculating the optimal hedging risk ratio. Therefore, in this paper, the OLS, ECM, DCC GARCH and GARCH models based on Copula are used to calculate and evaluate the optimal hedge ratio of spot market hedging risk to the futures market over the period 2018-2013. The results show that the DCC-GARCH model has the highest optimal hedging risk ratio at 0.805. Considering the percentage of variance reduction, it can be concluded that the dynamic strategies of DCC and copula to models Static hedging risk is more efficient. Also, the time-varying, t-student, gamble, and normal capsules show better performance than the DCC model. Also, among the functions mentioned above, the copula t student function has the best performance.

The paper examines the issue of hedging in energy markets. The objective of this study is to select an optimal model that will provide the highest price risk reduction for the selected commodities. We apply the ordinary least squares methods, autoregressive model, autoregressive conditional heteroscedasticity and copula to calculate the appropriate dynamic minimum-variance hedge ratio. The objects of hedging are the spot and futures prices. We use weekly data for the period 2013 to 2018 to estimate our values. Empirical results show that the Copula model is the most effective method for hedging against price risks‏.

Information about optimal risk hedge ratio, optimal weight of asset portfolios, the intensity and direction of impact of shock and volatility on financial markets is important for investment, policy, risk management and development of financial markets. In this study, to examine risk hedge ratio, optimal weight of asset and the volatility spillover among Iran, the United States, Turkey and UAE stock markets, multivariate GARCH model is estimated using the weekly stock index data from December 15, 2008 to April 10, 2017. Independence of Iran stock market from other markets is due to the relatively low volatility of the Iran stock market and the insignificant correlation between the Iran market and other markets, so risk hedge ratio and optimal weight of assets between the stock market of the studied countries and Iran is low. Also the results indicate considerable own ARCH and GARCH effects on the stock market of these countries. The US economy is relatively large, thus other markets have no significant effect on this market as expected. Most of the eigenvalues of the ARCH and GARCH effects matrix has been slightly smaller than unit, which indicates that relative stability in these markets has been low against domestic and foreign shock and volatility.

In Islam, economic justice is based on two dimensions of social balance and social Takaful From the point of view of social balance, eradicating poverty is an issue of Islamic society, and from the point of view of social tact, it refers to the social responsibility of each individual in dealing with problems in society. Nowadays, Takaful has attracted the attention of Islamic finance scholars and financial market players around the world as one of the most commonly used models in risk coverage and insurance. In overall mechanism of the Takaful that's it the motakafelin, under a religious contract, pays a sum of money to the Takaful Fund as gifts and receives a certain services (such as payment of damages, etc.). Also the resources of the Takaful Fund are invested in projects which have a religious nature, and incomes are earned through investment. Takaful Company receives through this income a sum as a wage (Previously agreed upon between the members and the company). The principle of public bail is governed on this pattern as one of the basic principles of the Islamic economic system. According to this principle, the community members are mutually exclusive and they should take each other's bail. Accordingly, in this risk-taking pattern, unlike the usual insurance that is profitable, economic justice is well realized.

Issuance of Islamic securities (sukuk) is one of the innovations of recent decades that open bright opportunities on the Islamic financial system. These bonds based on Islamic contracts are designed to substitute for securities, especially bonds are considered usury. The risks of this tool is the most important aspects that should be considered in the design of financial instruments. The first step in risk management, identification of risks and the next step is to reduce or eliminate it, thereby encouraging investors to buy these tools, resulting in a growth market to be provided. In this article dealt with the management of credit risk and cover this risk. So far, the country's financial rules in Iran (rules of the Securities and Exchange Money and Credit Council and the Council) have been trying to pay guarantee obligations to cover credit risk for investors. We believe that the guarantor for the bonds, despite the many advantages, but also disadvantages, which is better than other methods should be used to cover this risk. In this paper recommended credit default swaps as a good way to cover sukuk credit risk.

Derivatives were created in the financial markets to cover the variety of risks facing the firms. This type of tool, were created initially only to cover the financial risks such as fluctuations in asset prices, interest rates, exchange rates, etc. but because they have very high performance are also entered in other areas such as credit risk, weather and natural disasters. Weather futures contracts position as a means of emerging market derivatives, has been very good in this market. Weather futures contracts are used for hedging sale and return for firms. In this article, initially introduce history and literature review of weather future contract in conventional finance, and then survey this tools with juridical approach. The paper present that the first model of weather future in accepted by Islamic finance principals but the second model in accepted by sehhat, lozoom, prohibition of zarar, prohibition of riba, prohibition of gharar and prohibition of ghemar is but in not accepted accordance with Eccles by void. The paper presents a model for this tool is also provided in accordance with Islamic principles, which should make the real sector of the economy

The introduction of new financial instruments known as derivatives on the one hand, Capital market and other conditions of the Risk Management provides manufacturers to reduce concerns. The effective competitive weapon in the international arena, inventing new ways of trading and hedging for success, and the futures Trading of these methods. The purpose of futures markets, providing risk management tool for investors and getting them to optimal commercial purposes. Futures markets, provided the conditions to continue to supply and demand factors and other indicators to assess market. Based on the analysis of business data the futures market, prices are determined. Another objective is to track and assess future needs is security futures markets to compensate for the risks of changing prices in the cash markets. This article is about the study of the subject.

sukukFixed assets burden on the balance sheets of major banks of the country as locked resources and may not be utilized properly. With regard to the compilation of the issuance guideline of lease bonds (Sukuk) in capital market in 2009 and after finalization of this guideline by Central Bank in the early 2012، using this financial instrument، these assets could be changed into the productive banking resources، and exploited in economic plans. Banks have taken preliminary steps to issue lease bonds and have achieved some experiences that could be referred to for decision-making. Also it could help the economy to make appropriate decisions in facilitation of banking finance through changing the fixed assets and real estates of banking system into productive banking resources. The main objective of this research is to investigate the barriers of issuance of lease sukuk in state banks and to present applied solutions. In order to achieve this aim، the researcher has applied descriptive–analytic method and employed comparative comparison، by-laws and the governing law of the Stock–Exchange Organization and the Central Bank of the Islamic Republic of Iran. The results show that despite compilation of the issuing process of lease stock in the Stock- Exchange Organization and Central Bank، due to the structural difficulties such as: lack of specific solution to sell the assets of state banks to intermediary company، absence of related institutions regarding issuance of lease sukuk in guidelines and procedures of Central Bank، non-inclusion of the law regarding development of instruments and new financial instruments on the exemption of taxes and duties in the guideline of the Central Bank، lack of a unified custodian for issuance of lease sukuk and etc، there is no possibility to make use of this efficient instrument within state banks. In this research، enforceable and operational solutions have been given to institutionalize the lease sukuk instrument.

In the last years considerable variation of metal prices in the world causes extreme changing in the income of domestic producers and consumers of metals especially copper producers or consumers. Thus stabling and countering with variation of copper world prices is so necessary. One of the usual and applicable ways for that is entering derivatives market. In this article we investigate how much this tool reduce risks of these kinds of companies. We use one to four month COMEX futures contract in the period of 5 years (2008 -2012). We also use London metal exchange (LME) prices for spot prices in the same period. In this study we evaluate efficiency of hedging using futures contracts by one of econometrics models (VAR). Result of this investigation shows that it's possible to reduce the risk 87% at the minimum and 96% at the maximum using this contracts. Finally we estimate optimum hedging rate that proves increasing in maturity of contracts will increase the efficiency of model. So 4-month contracts are the most efficient and 1-month contracts the least efficient.

The exchange rate risk can be hedged using different approaches; one of which is the correct selection of the counterpart exchange، exchange portfolio diversification and entering hedging transactions. The direction of the exchange transaction should be in a way that trade is done based on real needs of producers and consumers and incorrect speculation gets minimized. Because of that، directing the transactions toward real sector of the economy can be a clue. Introducing an instrument compatible with Moghavah economy can be a theoretical solution in this stage. The point، which is worth mentioning here، is the usage of the securitization literature based on real goods and services. The entrance of real goods and services into the picture can solve some problems like the unavailability of the based goods، the Ghomar doubt etcetera. In this research، we try to introduce new Islamic instrument called: «Two-sided exchange Sukuk» which can be used to cover the exchange risks facing the Iranian economy and banking system.

Mortgage Backed Securities (MBS) are financial instruments that uses for banks financing in most countries. With ratifying Security Market Law in 2002, legal infrastructure provided for issuing such financial instruments in Iran. In designing any financial instrument, different aspects of financial design, jurisprudence, law, risk management, accounting and tax effects should be investigated.This article is based on exploratory methodology and aimed to answer this question: what are risks and hedging methods for Islamic mortgage securities? Therefore, we will analyze various risks of Islamic mortgage securities and some methods for hedging in term of Islamic economics in according with investors and originators.

One of the evolutions in financial markets has been the propagation of contract instruments that are called financial derivatives. “Option currency” and “Futures currency” are among cases that are allocated to the main share in these markets. Paying attention to the nature of these contracts and available jurisprudential resources can help legal inferences about the use of these contracts.There are sufficient attempts about “option” and “futures” contracts which are mentioned in this study briefly. Here we study these currency contracts theoretically and derive juridical statute about them. To justify the non-spot currency contracts in Shariah outlook, it is necessary to show the juridical nature of currency at first. Despite the correctness of the non-spot currency contract among countries, the above-mentioned conclusions are obtained. We show that the nature of these contracts is acceptable at Shariah point of view, but some restrictions should be applied for using these contracts in our capital market.

This is a basic، data-collecting research. The research aims to provide the indices for the success of future contracts to be presented to the market in a conceptual mode. The presented model in the article has effective variables on the success of presenting a designed future، including properties of underlying assets and properties of designed contract. Each of these variables has indices that help to measure values of variables. At first، the article surveys importance or unimportance of each of indices by non-parametric statistics and their coordination or in coordination with their divisions in the presented conceptual model. Then the article surveys presumptions of the research by using subjective analysis and LISREL software. Eventually، it is depicted that both properties of underlying asset variable and properties of designed contract variable are so impressive in succeeding future and are used in order to survey how much these indices are important and whether their position is accurate in the presented conceptual model.