سنجش و بهبود ریسک پذیری صندوق توسعه ملی تحت یک رویکرد کلی

قلی پور دمیه, مجتبی; میرمحمدصادقی, علیرضا; رستگار سرخه, محمدعلی

doi:10.22034/sep.2025.2063764.1334

سنجش و بهبود ریسک پذیری صندوق توسعه ملی تحت یک رویکرد کلی

نوع مقاله : پژوهشی

نویسندگان

مجتبی قلی پور دمیه ¹

علیرضا میرمحمدصادقی ²

محمدعلی رستگار سرخه ³

¹ دانشجوی دکتری، دانشکده فنی و مهندسی، دانشگاه جامع امام حسین(ع)، تهران، ایران

² نویسنده مسئول: دانشیار، دانشکده فنی و مهندسی، دانشگاه جامع امام حسین(ع)، تهران، ایران

³ استادیار، دانشکده مهندسی صنایع، دانشگاه تربیت مدرس، تهران، ایران

10.22034/sep.2025.2063764.1334

چکیده

نقش صندوق‌های ثروت ملی در توسعه اقتصادی و رشد همه‌جانبه کشورها به‌گونه‌ای است که امروزه موفق‌ترین کشورها ازنظر توسعه و رشد، بزرگ‌ترین صندوق‌های ثروت ملی را دارند. این مطالعه با هدف سنجش و بهبود ریسک‌پذیری صندوق توسعه ملی در حوزه سرمایه‌گذاری (مشارکت غیر مداخله‌ای) در ابعاد: سلامت مالی (ریسک اهرمی و ریسک پرتفوی)، کیفیت تسهیلات دهی (ریسک اعتباری)، و عملکرد نسبی ریسک-بازده صندوق با استفاده از معیارهای: Z-Score، NPL، نسبت شارپ و یک معیار ترکیبی سنجش ریسک‌پذیری (RT) سنجش و بهبود داده‌شده است. یافته‌ها با داده‌های صورت‌های مالی سالانه صندوق (از ۱۳۹۰ تا ۱۴۰۱) و پردازش آن در کتابخانه cvxpy و scipy در پایتون نشان می‌دهد مقدار Z-Score از 40/1 در سال 1390 به 39/1 در سال 1401 کاهش یافته که حاکی از کاهش ثبات مالی صندوق است، درحالی‌که NPL در دوره مشابه از 29% به 20% بهبودیافته است. عملکرد نسبی بازده-ریسک صندوق از 77/1 در سال ۱۳۹۰ به 69/1- در سال ۱۴۰۱ رسیده، که نشان‌دهنده ضرورت بازنگری در تخصیص منابع به پروژه‌های پرریسک است. VaR از 3/2 در سال 1390 به 16/2 در سال 1401 کاهش‌یافته است. میزان RT صندوق از 62/0 در سال 1390 به 76/0 در سال 1400 افزایش داشته و در سال 1401 تا 49/0 کاهش یافته است. همچنین، پیش‌بینی بهبود ریسک‌پذیری صندوق توسط مدل‌ ARIMA در افق زمانی کوتاه‌مدت تا بلندمدت (تا سال 1410) انجام شد.

تازه های تحقیق

امروزه صندوق‌های ثروت ملی در توسعه اقتصادی و رشد همه‌جانبه کشورها نقش بنیادی دارند.
از ابتدای تأسیس صندوق، سلامت مالی آن کاهش، کیفیت تسهیلات دهی صندوق و عملکرد ریسک-بازده آن در حال بهبود است.
ریسک‌پذیری صندوق دارای نوسان است، و بهبود آن نیاز به توجه جدی دارد.

کلیدواژه‌ها

سنجش و بهبود ریسک‌پذیری

صندوق ثروت ملی

صندوق توسعه ملی ایران

سرمایه‌گذاری

تأمین مالی

موضوعات

مدیریت ریسک

عنوان مقاله English

Measuring and Improving Risk-taking of the NDFI under a General Approach

نویسندگان English

Mojtaba Gholipour Domyeh ¹

Sayyed Alireza Mir-Mohammad Sadeghi ²

Mohammad Ali Rastegar-Sorkhe ³

¹ Ph.D. Student, Faculty of Engineering, Imam Hossein University, Tehran, Iran

² Corresponding author: Associate Professor, Faculty of Engineering, Imam Hossein University, Tehran, Iran

³ Assistant Professor, Faculty of Industrial Engineering, Tarbiat Modarres University, Tehran, Iran

چکیده English

The role of sovereign wealth funds in the economic development and growth of countries is such that today the most successful countries in terms of development and growth have the largest sovereign wealth funds. This study aims to measure and improve the risk-taking of the NDFI in the investment scope in the dimensions of: financial health (leverage risk and portfolio risk), quality of facilities (credit risk), and the relative risk-return performance of the fund using the following criteria: Z-Score, NPL, Sharpe ratio, and a hybrid risk-taking (RT) measure. The findings, using the fund's annual financial statement data (from 1390 to 1401) and its processing using Python show that the Z-Score value decreased from 1.40 in 1390 to 1.39 in 1401 (a decrease in the fund's financial health), while NPL improved from 29% to 20% in the same period. The return-risk performance also changed from 1.77 in 1390 to -1.69 in 1401, and it shows vital review on financing high-risk projects. VaR decreased from 2.3 in 1390 to 2.16 in 1401. The fund's RT increased from 0.62 in 1390 to 0.76 in 1400 and decreased to 0.49 in 1401. Also, we estimated RT's improvement using the ARIMA model.

کلیدواژه‌ها English

Measuring and improving risk-taking

Sovereign wealth fund

National Development Fund of Iran

Investment

Financing

Copyright © Mojtaba Gholipour Domyeh, Sayyed Alireza Mir-Mohammad Sadeghi, Mohammad Ali Rastegar-Sorkhe

License

This article is released under the Creative Commons Attribution (CC BY 4.0) license. Anyone is free to copy, share, translate, and adapt this article for any purpose, whether commercial or non-commercial, as long as proper citation is given to the authors and original publication.

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