Measuring liquidity risk in Social Security using VaR technique
Measuring liquidity risk plays an important role on any business unit especially financial organizations. Social security systems in most countries around the world are responsible to provide necessary requirements in many countries such as health care, pension plans, etc. Therefore, it is necessary...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Growing Science
2013-02-01
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| Series: | Management Science Letters |
| Subjects: | |
| Online Access: | http://www.growingscience.com/msl/Vol3/msl_2012_325.pdf |
| _version_ | 1819029684765065216 |
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| author | Mohammad Khodaei Valahzaghard Gholamreza Tizfahmfard |
| author_facet | Mohammad Khodaei Valahzaghard Gholamreza Tizfahmfard |
| author_sort | Mohammad Khodaei Valahzaghard |
| collection | DOAJ |
| description | Measuring liquidity risk plays an important role on any business unit especially financial organizations. Social security systems in most countries around the world are responsible to provide necessary requirements in many countries such as health care, pension plans, etc. Therefore, it is necessary to reduce any risk associated with these systems as much as possible. In this paper, we study liquidity risk in Iranian social security using VaR technique. The proposed model of this paper uses historical information for a fiscal year of 2008-2011. We first divide the information of each year into two groups of first and second half and using VaR technique analyzed whether there was any trend change in these two groups. The results of our survey indicate that the mean of VaR in the second half of the year is greater than the first half of the year. Therefore, we can confirm that VaR maintains an increasing trend over the time horizon. We also study the trend in liquidity using regression analysis for each year, separately and the results of our survey confirm that there was an increasing trend in liquidity over time. |
| first_indexed | 2024-12-21T06:18:11Z |
| format | Article |
| id | doaj.art-c5920c69955c4c91a36a3f3c5df88fc7 |
| institution | Directory Open Access Journal |
| issn | 1923-9335 1923-9343 |
| language | English |
| last_indexed | 2024-12-21T06:18:11Z |
| publishDate | 2013-02-01 |
| publisher | Growing Science |
| record_format | Article |
| series | Management Science Letters |
| spelling | doaj.art-c5920c69955c4c91a36a3f3c5df88fc72022-12-21T19:13:20ZengGrowing ScienceManagement Science Letters1923-93351923-93432013-02-0132597602Measuring liquidity risk in Social Security using VaR techniqueMohammad Khodaei ValahzaghardGholamreza TizfahmfardMeasuring liquidity risk plays an important role on any business unit especially financial organizations. Social security systems in most countries around the world are responsible to provide necessary requirements in many countries such as health care, pension plans, etc. Therefore, it is necessary to reduce any risk associated with these systems as much as possible. In this paper, we study liquidity risk in Iranian social security using VaR technique. The proposed model of this paper uses historical information for a fiscal year of 2008-2011. We first divide the information of each year into two groups of first and second half and using VaR technique analyzed whether there was any trend change in these two groups. The results of our survey indicate that the mean of VaR in the second half of the year is greater than the first half of the year. Therefore, we can confirm that VaR maintains an increasing trend over the time horizon. We also study the trend in liquidity using regression analysis for each year, separately and the results of our survey confirm that there was an increasing trend in liquidity over time.http://www.growingscience.com/msl/Vol3/msl_2012_325.pdfLiquidityVaRSimulationSocial security |
| spellingShingle | Mohammad Khodaei Valahzaghard Gholamreza Tizfahmfard Measuring liquidity risk in Social Security using VaR technique Management Science Letters Liquidity VaR Simulation Social security |
| title | Measuring liquidity risk in Social Security using VaR technique |
| title_full | Measuring liquidity risk in Social Security using VaR technique |
| title_fullStr | Measuring liquidity risk in Social Security using VaR technique |
| title_full_unstemmed | Measuring liquidity risk in Social Security using VaR technique |
| title_short | Measuring liquidity risk in Social Security using VaR technique |
| title_sort | measuring liquidity risk in social security using var technique |
| topic | Liquidity VaR Simulation Social security |
| url | http://www.growingscience.com/msl/Vol3/msl_2012_325.pdf |
| work_keys_str_mv | AT mohammadkhodaeivalahzaghard measuringliquidityriskinsocialsecurityusingvartechnique AT gholamrezatizfahmfard measuringliquidityriskinsocialsecurityusingvartechnique |