Volume 12, Issue 2 (2022)
ORMR 2022, 12(2): 31-57 |
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Aghamohammadi A, OHADI F, Seighaly M, Bani mahd B. Provide a template for risk assessment and optimization related to the selection of a bank foreign exchange portfolio in combination with digital currencies. ORMR 2022; 12 (2) :31-57
URL: http://ormr.modares.ac.ir/article-28-29641-en.html
URL: http://ormr.modares.ac.ir/article-28-29641-en.html
1- Ph.D student in financial engineering, Department of Management and Accounting, Faculty of Management and Accounting, Islamic Azad University, Karaj Branch, Alborz, Iran.
2- Assistant Professor, Department of Industrial Engineering, Faculty of Management and Accounting, Islamic Azad University, Karaj Branch, Alborz, Iran. ,fohadi31@kiau.ac.ir
3- assistant professor of the Department of Financial Management, South Tehran Branch, Faculty of Management, South Tehran Islamic Azad University, Tehran, Iran.
4- Associate Professor, Department of Accounting, Karaj Branch, Faculty of Management and Accounting, Islamic Azad University of Karaj, Aborz, Iran.
2- Assistant Professor, Department of Industrial Engineering, Faculty of Management and Accounting, Islamic Azad University, Karaj Branch, Alborz, Iran. ,
3- assistant professor of the Department of Financial Management, South Tehran Branch, Faculty of Management, South Tehran Islamic Azad University, Tehran, Iran.
4- Associate Professor, Department of Accounting, Karaj Branch, Faculty of Management and Accounting, Islamic Azad University of Karaj, Aborz, Iran.
Abstract: (2298 Views)
Digital currency is a special form of digital money based on cryptography. The cost and time of transferring digital currency to different places is less than the traditional method. In banking, the method of transferring Fiat currencies has created many risks for banks due to different prices, long transfer time and high cost of Swift fees. The main purpose of this study was to provide a model for estimating the rate of return and risk of banks 'foreign exchange portfolio in Iran and to evaluate the effect of adding digital currencies to the banks' portfolio in terms of rate of return, risk and optimization using Value At Risk (VAR). To examine the extent of changes in banks' foreign exchange portfolio risk in combination with digital currencies, first the return and risk of a foreign exchange portfolio used in Iranian banks are calculated and optimized the using Value At Risk (VAR); then, by selecting a number of digital currencies and adding them to the foreign exchange portfolio of banks, the returns and risk related to the new portfolio are calculated and optimized using Lingo software. The results of the study show a reduction in the risk of the new portfolio.
Article Type: Original Research |
Subject:
Strategy and Management
Received: 2019/01/21 | Accepted: 2022/04/3 | Published: 2022/09/26
Received: 2019/01/21 | Accepted: 2022/04/3 | Published: 2022/09/26
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