خلاصه ماشینی:
Introducing a New Method for Calculating the Market Risk Factor of Solvency Model of Iranian Insurance Industry: The ARDL-GARCH Approach 1 Reza Jafari 2 Nader Mazloomi 3 Amir Safari Received: 2019 April 13 Accepted: 2019 August 26 ABSTRACT Objective: The main purpose of this paper was to present a more efficient method for measuring the insurance market risk of insurance companies in the model of solvency protocol No. 69 of the Supreme Council of Insurance.
Finally, using the Kupiec back testing, the ARDL-EGARCH model was selected as the best model Findings: Using the method presented in this paper, the risk factor estimation of the market risk of solvency model is more efficient than the other methods Conclusions: Using the introduced model, the risk factor of investing in the stock market of financial corporations is 39% under normal economic conditions and 86.
Methodology: This paper explains the impact of selected components of corporate governance (ownership concentration, non-executive members, managerial ownership, and post segregation) and four variables on financial performance (profitability, liquidity, size, and growth of firms) on financial solvency of insurance companies using panel regression, generalized method of moment and artificial neural networks during the period from 2011 to 2017.
Findings: The results of this study confirm the relations among solvency ratio and the components of ownership concentration and the existence of a non-executive member of the board of directors in the corporate governance domain, as well as the variables of profitability and size in the field of financial performance of insurance companies in all three models.