ارائه یک مدل بهینه سازی برای ارزیابی ریسک ورود ارز دیجیتال به پرتفوی ارزی بانکداری اسلامی در کشور ایران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری مهندسی مالی واحد کرج، دانشگاه آزاد اسلامی، کرج، ایران

2 استادیار ،گروه مهندسی صنایع ، واحد کرج ، دانشگاه آزاد اسلامی کرج ، ایران

3 استادیار گروه مدیریت مالی واحد تهران جنوب، دانشگاه آزاد اسلامی، تهران جنوب، ایران

4 دانشیار گروه حسابداری واحد کرج، دانشگاه آزاد اسلامی، کرج، ایران

10.22051/jfm.2019.24952.2003

چکیده

ارز دیجیتال نوعی پول مجازی متکی بر اصول رمزگذاری است که موجب معتبر ساختن تراکنش­ها می­شود. در واقع اولین سیستم پرداخت الکترونیک غیرمتمرکز است که توانسته مشکل دو بار خرج شدن یک واحد پول مجازی را حل کند. یکی از اهداف مهم روی کار آمدن پول­های مجازی، تسهیل انجام امور مالی و ایجاد پولی بدون حضور واسطه­ها و بانک­ها می­باشد، به طوری که امکان دست­کاری این پول­ها توسط دولت وجود ندارد و بانک­ها هم نمی‌توانند ارزش آن را کم یا زیاد کنند. در حال حاضر در بانکداری اسلامی­کشور ایران، قوانین مربوط به استفاده از ارزهای دیجیتال تصویب نگردیده است و استفاده از ارزهای خارجی ریسک­های متعددی را برای بانک­ها و کشور به وجود آورده است. در پژوهش حاضر، ابتدا ریسک مربوط به یک پرتفوی ارزی مورد استفاده بانک­ها در ایران با استفاده از روش ارزش در معرض خطر محاسبه شده و سپس، با اضافه نمودن ارز دیجیتال به پرتفوی، مجددا ریسک مربوط به آن محاسبه شده است و در نهایت، مدل بهینه پرتفوی ارائه گردیده ­است. نتایج حاصل از پژوهش، حاکی از کاهش ریسک پرتفوی است.

کلیدواژه‌ها

عنوان مقاله [English]

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

نویسندگان [English]

  • Ahmad Aghamohammadi 1
  • Fereydoun Ohadi 2
  • Mohsen Seighaly 3
  • Bahman Banimahd 4
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
چکیده [English]

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.

کلیدواژه‌ها [English]

  • Digital Currency
  • Islamic Banking
  • Portfolio Optimization
  • Foreign Exchange Portfolio
  • Risk

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سابقه مقاله

  • تاریخ دریافت: 13 مرداد 1401
  • تاریخ بازنگری: 07 اسفند 1401
  • تاریخ پذیرش: 17 آذر 1402

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