Provide an Optimization Model for Assessing Entry Risk Digital Currency to the Islamic Banking Currency Portfolio in Iran

Document Type : Research Paper

Authors

1 Ph.D. student of financial engineering,Karaj Branch, Islamic Azad University of Karaj, Iran

2 Associate Professor, Department of Industrial Engineering, Karaj Branch, Islamic Azad University of Karaj, Iran

3 AssistProfessor,Department of Financial Management, Tehran South Branch, Islamic Azad University, Tehran-Southern, Iran

4 Associate Professor,Department of Accounting, Karaj Branch, Islamic Azad University of Karaj, Iran

10.22051/jfm.2019.24952.2003

Abstract

Digital Currency is a virtual currency, which relies on the principles of encryption to authenticate transaction.In fact, the first electronic payment system is decentralized, which managed to solve the problem of spending twice the virtual currency. One of the most important goals of virtual money is to facilitate financial and monetary creation without the presence of intermediaries and banks, That the government cannot handle this money, and banks cannot be worth it either much or too much. Currently, the rules on the use of digital currencies have not been approved in Iranian Islamic Banking and the use of foreign currencies has created numerous risks for banks and the country . In the research done First, they evaluated the risk associated with a currency portfolio used by banks in Iran using the value-at-risk approach. Then add the digital currency to the portfolio It again evaluates the risk associated with the mixed portfolio At the end of the optimal portfolio model, a hybrid portfolio is presented. The results of the research indicate a reduction in the risk of a mixed portfolio.

Keywords

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Financial Management Strategy
Volume 11, Issue 4 - Serial Number 43
December 2023
Pages 219-240

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History

  • Receive Date: 04 August 2022
  • Revise Date: 26 February 2023
  • Accept Date: 08 December 2023

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