Defensive Future Studies

Defensive Future Studies

Providing a comprehensive risk prediction model using the method (MGARCH)

Document Type : Original Article

Authors
mosa hoseinzadeh bizaki 1
hossein jahangirnia 2
Gholamreza Zomorodian 3
Reza Gholami Jamkarani 2
Mirfeiz Fallah Shams 3
1 PhD student in financial engineering, Islamic Azad University, Qom, Iran
2 Associate Professor of Accounting, Islamic Azad University, Qom, Iran
3 Associate Professor of Financial Management, Islamic Azad University, Tehran, Iran
10.22034/dfsr.2024.2036343.1813
Abstract
Objective: Risk management is one of the fundamental requirements for modern military forces. Today, without implementing scientific and logical processes,  it is impossible to identify and eliminate risks in dynamic and technological environments. Risk analysis and its prioritization are essential approaches to identifying significant risks and their impacts, enabling the determination of policies and strategies within defense organizations. This research aims to present a comprehensive risk prediction model using the Multivariate GARCH (MGARCH) method
Methodology: Due to the lack of public access to information from military organizations, in this research, statistical methods such as time series regression, self-regressive vector model, multivariable GARCH model, and conditional value at risk were used for banking data from the years 2011 to 2018.
Findings: It is possible to identify, analyze and prioritize risks through the quantification of risks in different units of military organizations.
Conclusion: Based on this, commanders are advised to establish and strengthen risk management departments and regularly assess and manage internal risks within their units according to risk indicators
Keywords
Financial crisis
Risk
Systemic risk
Banking system
Subjects
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Defensive Future Studies
Volume 9, Issue 35
Winter 2025
Pages 123-167