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Designing a model for measuring and improving risk-taking in the National Development Fund of Iran
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Mojtaba Gholipour Domyeh *1   , Sayyed Alireza MirMohammad Sadeghi1 , Mohammad Ali Rastegare-Sorkheh2 |
1- Imam Hossein (AS) Unviersity
2- Tarbiat Modares University |
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Abstract: (493 Views) |
The present research aims to design a model to measure and improve the risk-taking of the National Development Fund of Iran in the field of investment (including all financing and investment activities of the fund) under a general and project-oriented approach. In the general approach: the amount of the fund's financial health (portfolio risk and leverage risk), the quality of the fund's facilities, the relative performance of the fund's return-risk and the fund's financial risk with the criteria: Z-Score, NPL, Sharpe ratio and VaR ordinarily, and their integration into a new composite criterion called RT or the fund's overall risk-taking, and the prediction of RT changes in the normal and improved state in the period 2024 to 2031 was carried out with the ARIMAX model in Python. In the project-oriented approach, the objectives: maximizing returns at a given level of risk, and minimizing risk at a given level of return, under the mean-variance concept with two mathematical models presented and solved, validated, and improved with data related to the initial returns of 318 projects financed/participated by the Fund from the beginning of its establishment to the end of 2024. The results of the overall approach from 2011 to 2024 showed that the fund's financial health (Z-Score value) decreased from 39.01 to 11.14, the  ratio improved from 5.77 to 9.91, the  ratio decreased from 33.24 to 1.23, the fund's NPL ratio increased to 48%, the VaR value at a 99.5% confidence level decreased from 3.34 to 1.25, the fund's relative risk-return performance (Sharp ratio value) decreased from 35.67 to -0.65, and the fund's overall RT decreased from 0.382 to 0.352. The prediction of RT values in the normal and improved case showed a maximum of 0.46 (normal case), 0.5 (in the short term), 0.485 (in the medium term) and 0.493 (in the long term). The results of the project-based approach showed that for the fund's project portfolio; the average annual return is 3.2%, the maximum annual return is 5.84%, the minimum risk is 5.38 (out of 10) and the Sharpe ratio (return-risk performance) of the portfolio is 1.12. Model validation, sensitivity analysis and stress testing have shown the stability of the models in different economic conditions. |
Article number: 6 |
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Full-Text [PDF 2273 kb]
(120 Downloads)
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Type of Study: Case Study |
Subject:
Corporate Finance and Governance (G3)
Received: 2025/08/9 | Accepted: 2025/09/16 | Published: 2025/12/23
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