System Engineering and Productivity

System Engineering and Productivity

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

Document Type : Research Paper

Authors
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
10.22034/sep.2025.2063764.1334
Abstract
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.

Highlights

  • Today, sovereign wealth funds play a fundamental role in the economic development and growth of countries.
  • Since the NDFI establishment, its financial stability has declined, the quality of the fund's facilities, and its risk-return performance have been improving.
  • The NDFI's risk-taking is volatile, and its improvement requires serious attention.

Keywords
Measuring and improving risk-taking
Sovereign wealth fund
National Development Fund of Iran
Investment
Financing
Subjects

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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System Engineering and Productivity
Volume 5, Issue 4 - Serial Number 17
Serial No. 17, Winter Quarterly
Winter 2026
Pages 101-124

  • Receive Date 15 June 2025
  • Revise Date 23 July 2025
  • Accept Date 26 July 2025
  • First Publish Date 26 July 2025
  • Publish Date 22 December 2025