پیش بینی ریسک نقدینگی با استفاده از تحلیل تمایلات خبری
محورهای موضوعی : فناوری اطلاعات و ارتباطاتحامد میرشک 1 , امیر البدوی 2 * , مهرداد کارگری 3 , محمد علی رستگار 4 , محمد طالبی 5
1 - دانشجو
2 - دانشگاه تربیت مدرس
3 - استاد دانشگاه
4 - استاد دانشگاه
5 - دانشگاه امام صادق
کلید واژه: پيشبيني ریسک نقدینگي, یادگيري ماشين, تحليل تمایل, تحليل سناریو, روششناسي علم طراحي,
چکیده مقاله :
یکي از م شکلات ا سا س ي بانکهاي ایراني نبود فرآیند مدیریت ری سک با رویکردي آیندهنگر ا ست . از مهمترین این ری سک ها در بانک، ميتوان به ری سک نقدینگي ا شاره کرد ؛ بنابراین پيشبيني ری سک نقدینگي به مو ضوع ي مهم براي بانکها تبدیل شده ا س ت. روشهاي مرسوم اندازه گيري ریسک نقدینگي پيچيده، زمانبر و پرهزینه هستند که پيشبيني آن را نيز غير قابل دسترس نموده اس ت. پيشبيني ریسک نقدینگي در زمان مناسب ميتواند از بروز مشکلات یا بحرانهاي جدي در بانک جلوگيري نماید. در این مطالعه سعي شده است تا راهحلي نوآورانه براي پيشبيني ریسک نقدینگي بانک و سناریوهاي پيشرو با استفاده از رویکرد تحليل تمایلات خبري ارائه شود . از رویکرد تحليل تمایل اخبار پيرامون یکي از بانکهاي ایراني در را ستاي شنا سایي متغيرهاي کيفي پ ویا و مؤثر در ریسککک نقدینگي بهره برده شده تا روشي سادهتر و با کارایي بالاتر براي پيشبيني روند ریسک نقدینگي ارائه نماید. روش پيشنهادي سناریوهاي عملي را براي تص ميمگيرندگان ریسک بانکي در دنياي واقعي فراهم ميکند. س کناریوهاي ریسک نقدینگي به د ست آمده در مقای سه با سنار یوهاي رخ داده در بانک طبق د ستورالعمل کم يته بازل و نظر کار شنا سان بانک ي ارزیابي مي شوند تا از صحت پ يشبينيها و همسو یي آن اطمينان حاصل شود. نتيجه ارزیابي سنار یوهاي موردمطالعه بهصورت دورهاي حاکي از دقت نسبتاً بالا است. معيار دقت 1 پيشبيني در سککناریوهاي محتمل اسککتاراش شده از کميته بازل، 95.5 % و در سککناریوهاي برگرفته از نظرات خبرگان، 75 % است
One of the main problems of Iranian banks is the lack of risk management process with a forward-looking approach, and one of the most important risks in banks is liquidity risk. Therefore, predicting liquidity risk has become an important issue for banks. Conventional methods of measuring liquidity risk are complex, time-consuming and expensive, which makes its prediction far from possible. Predicting liquidity risk at the right time can prevent serious problems or crises in the bank. In this study, it has been tried to provide an innovative solution for predicting bank liquidity risk and leading scenarios by using the approach of news sentiment analysis. The news sentiment analysis approach about one of the Iranian banks has been used in order to identify dynamic and effective qualitative factors in liquidity risk to provide a simpler and more efficient method for predicting the liquidity risk trend. The proposed method provides practical scenarios for real-world banking risk decision makers. The obtained liquidity risk scenarios are evaluated in comparison with the scenarios occurring in the bank according to the guidelines of the Basel Committee and the opinion of banking experts to ensure the correctness of the predictions and its alignment. The result of periodically evaluating the studied scenarios indicates a relatively high accuracy. The accuracy of prediction in possible scenarios derived from the Basel Committee is 95.5% and in scenarios derived from experts' opinions, 75%.
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