Study on the effectiveness of risk management in financial markets [Case Study: Tehran Stock Exchange]

An efficient risk management system is vital to the growth and development of capital market as an important economic sector of any country. In today’s business world, implementation of an integrated system for the management of risk and analysis of risk-based investment plays a key role in the development of capital market. In business competition, one of the most important distinctions between investors, whether natural or legal, lies in the adoption of efficient strategies and policies for investment and economic activities. In this paper, we explore and evaluate risk management techniques and their application in capital market [Tehran Stock Exchange] using questionnaire and opinion poll among experts and specialists. For statistical data analysis, we employed Kolmogorov- Smirnov test, Shapiro Wilk test, single-sample t test, and correlation and regression test. The results of this study indicated that utilizing a mixture of techniques is a good solution for optimal resource allocation, selection of proper investment path, allocative efficiency of capital market, and optimal risk-return balance. Using E-Views and Matlab, we fitted risk assessment and econometrics models and analyzed the research data. Kupiec possible failures test determined with 95% and 99% confidence that there was no significant difference between the efficiencies of econometrics model and risk assessment model, with both having a good ability to forecast market risk. Keywords: Capital market, risk and return, risk-based investment, integrated risk management system, allocative efficiency of capital market