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Evaluating the risk model of asset-backed Sukuk bonds based on deep learning methods for application in the insurance industry
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Pooneh Farnia1   , Hamidreza Kordlouie *2 , Hashem Nikoumaram3 , Mohsen Rostami mal khalifeh4 |
1- Doctoral student in Insurance Finance, Science and Research Branch, Islamic Azad University, Tehran, Iran
2- Associate Professor, Department of Business Administration, Islamshahr Branch, Islamic Azad University, Islamshahr, Iran. , Kordlouie@iiau.ac.ir
3- Department of Financial Management, Science and Research Branch, Islamic Azad University, Tehran, Iran
4- Department of Mathematics, Science and Research Branch, Islamic Azad University, Tehran, Iran |
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Abstract: (11 Views) |
Considering the expansion of the financing market through asset-backed Sukuk and the requirement of the Securities and Exchange Organization to issue debt securities using credit ratings in order to facilitate, accelerate, and reduce financing costs, it is necessary and inevitable to identify the factors affecting the process of rating asset-backed Sukuk and provide a model for their rating in the country's capital market, including the insurance industry. In many studies, types of risk have been introduced as the main factors affecting the rating of Sukuk. However, little study has been conducted to model the risk in asset-backed Sukuk so far. Therefore, this paper presents and evaluates the risk model of asset-backed Sukuk based on deep learning methods for application in the insurance industry.
In this study, after defining the inputs, two deep learning-based neural networks CNN and RNN were trained using data from Sukuk issued on the Tehran Stock Exchange. For this purpose, an objective function is determined and the model parameters are adjusted using optimization algorithms such as statistical gradient descent (SGD) and derivative with respect to the parameters. The spatial domain of this research is Tehran Stock Exchange and its temporal domain is from 1389 to 1403. To select the statistical sample for training, testing and explaining the model, both matured and currently traded sukuk bonds were used.
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Article number: 15 |
| Keywords: Sukuk, Risk-Deep Learning, Insurance Industry |
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Full-Text [PDF 853 kb]
(4 Downloads)
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Article type: Research |
Subject:
General
Received: 2025/05/1 | Accepted: 2025/08/6 | Published: 2026/08/1
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