فهرست مطالب mohammadreza aghamohammad semsar

Bank deposits are a very important resource for banks, which, if accompanied by weak investments or fuel facilities, will cause many problems for financial institutions. One way to combat the burning of deposits is to insure them. The present study seeks to provide a model that can measure the risk of the banking industry in proportion to the price of premiums. And it uses risk-based modeling. This modeling uses multivariate GARCH models, which can lead to more accurate pricing of deposit premiums. To determine the factors affecting premiums and determine their relationship, the information of active banks of Tehran Stock Exchange between 1393 and 1397 has been used. Using Blacksholes, Merton Blacksholes, Merton Blacksholes models with systematic risk and Merton Blacksholes models using multivariate GARCH modeling, premium pricing has been done. According to the results obtained from the estimation of regression equations, it was found that the premium received by the Deposit Guarantee Fund was not due to the systemic risk of the banking network and it seems better that the value of the deposit premium is considered considering the risk. Be banking. In this regard, and according to the estimated models, the systemic risk of the banking network better considers the calculated value of the premium by considering the multivariate Garchi model.

Returns along with risk are the most important investment criteria. Asset of enterprises are the main sources of value creating for stockholders. Investors in stock market, consider some factors in asset pricing which affect their returns. This paper investigates fundamental factors affecting bank’s stock returns. Return on assets ratio has emphasized in this paper and our search is going to study banking profitability in their stock market return through extention of ROA ration. In this paper using panel data, the relationship between returns on assets and other fundamental factors on stock returns were examined and finally through Bayesian vector autoregressive relationship between bank’s stock returns and their fundamental variable were studied. The results show that stock returns of Iranian banks has a significant positive relationship with its one period lag, net income to total operating revenues, ratio of total operating revenues to net interest income and significant negative effects with net interest income to interest income and bank size.