تعداد نشریات | 161 |
تعداد شمارهها | 6,533 |
تعداد مقالات | 70,506 |
تعداد مشاهده مقاله | 124,127,438 |
تعداد دریافت فایل اصل مقاله | 97,235,184 |
Systemic Risk Calculation in the Iranian Banking System, Employing the Conditional Value-at-Risk Approach (2009-2019) | ||
Iranian Economic Review | ||
دوره 25، شماره 4، اسفند 2021، صفحه 623-639 اصل مقاله (1.04 M) | ||
شناسه دیجیتال (DOI): 10.22059/ier.2021.85079 | ||
نویسندگان | ||
Seyed Ali Naseri1؛ Farkhondeh Jabalameli* 1؛ Sajad Barkhordary Dorbash2 | ||
1Faculty of Economics, University of Tehran, Tehran, Iran | ||
2Faculty of Economics, University of Tehran | ||
چکیده | ||
Systemic risk is the collapse and crisis in the financial system that is caused by default or crisis in one or more firms. In this paper, the conditional value-at-risk (𝐶o𝑉𝑎𝑅) method is used as a measure for this kind of risk. This measure is going to be calculated for the five largest banks of the country including Mellat, Tejarat, Saderat, Parsian, and EN from June 17, 2009, to May 7, 2019, and the share of each bank in overall systemic risk is going to be identified. This paper is to investigate the effectiveness and participation of each of these banks in systemic risk. The results show that Parsian, Mellat, EN, Tejarat, and Saderat banks are the most involved in the systemic risk of the whole system, respectively. In addition, we try to calculate the effect of systemic risk of the entire banking system on each of these banks and the impact of each of these banks on the crisis in another bank. The results of this section indicate that in a crisis in the whole system, Mellat bank is the most stable bank, and accepts less impact of the crisis than other banks. By contrast, Parsian and Tejarat banks are the most affected by the crisis in the banking network. | ||
کلیدواژهها | ||
Banking System؛ Conditional Value-at-Risk (𝐶𝑂𝑉𝑎𝑅)؛ Systemic Importance؛ Systemic Risk؛ Value-at-Risk (𝑉𝑎𝑅) | ||
مراجع | ||
Adrian, T., & Brunnermeier, M. K. (2011). CoVaR. Federal Reserve Bank of New York, 348, Retrieved from https://www.nber.org/papers/w17454
Bernardi, M., Maruotti, A., & Petrella, L. (2014). Multivariate Markov-Switching Models and Tail Risk Interdependence. Working Paper, Retrieved from https://arxiv.org/abs/1312.6407v3
Borri, N., Caccavaio, M., Giorgio, G. D., & Sorrentino, A. M. (2014). Systemic Risk in the Italian Banking Industry. Economic Notes, 43(43), 21–38.
---------- (2012). Systemic Risk in the European Banking Sector. CASMEF1211, Working Papers, Retrieved from https://ideas.repec.org/p/lui/casmef/1211.html
Brownlees, C., & Engle, R. F. (2017). SRISK: A Conditional Capital Shortfall Measure of Systemic Risk. Review of Financial Studies, 30(1), 48–79.
---------- (2012). Volatility, Correlation and Tails for Systemic Risk Measurement. NYU Working Paper, Retrieved from https://www.semanticscholar.org/paper/Volatility%2C-Correlation-and-Tails-for-Systemic-Risk-Brownlees-Engle/ c3c8133b4b946aa72e939da4fa001dc8b4a16ce2
Girardi, G., & Ergün, A. T. (2013). Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR. Journal of Banking and Finance, 37(8), 3169–3180.
Group of Ten. (2001). Report on Consolidation in the Financial Sector: Chapter III. Effects of Consolidation on Financial Risk. International Monetary Fund Working Paper, Retrieved from https://www.imf.org/external/np/g10/2001/01/Eng/pdf/file1.pdf
Huang, W. Q., & Stan, U. (2018). The CoCVaR Approach: Systemic Risk Contribution Measurement. Journal of Risk, 20(4), 75–93.
Huang, X., Zhou, H., & Zhu, H. (2009). A Framework for Assessing the Systemic Risk of Major Financial Institutions. Journal of Banking and Finance, 33, 2036–2049.
Kleinow, J., & Moreira, F. (2016). Systemic Risk among European Banks: A Copula Approach. Journal of International Financial Markets, Institutions, and Money, 42(C), 27–42.
Koenker, R., & Bassett, G. (1978). Regression Quantiles. Econometrica, 46(1), 33–50.
Rastegar, M. A., & Karimi, N. (2016). Systemic Risk in TSE Banking Sector. Quarterly Journal of Risk Modeling and Financial Engineering, 1(1), 1–19 (In Persian).
Roengpitya, R., & Rungchaoenkitkul, P. (2010). Measuring Systemic Risk and Financial Linkages in the Thai Banking System. Internal Report Systemic Risk, Basel III, Financial Stability and Regulations 2011 Money Policy Group, Retrieved from https://pdfs.semanticscholar.org/cbda/615f645b77675ff07c5b762a2fcb923d7cbf.pdf
Segoviano, A., & Goodhart, C. (2009). Banking Stability Measures. IMF WP 09/04, Retrieved from https://www.imf.org/external/pubs/ft/wp/2009/wp0904.pdf
Xiaochun, L. (2017). Measuring Systemic Risk with Regime Switching in Tails. Economic Modelling, 67, 55–72.
Zarei, Z., & Komijani, A. (2015). Identification and Prediction of Banking Crisis in Iran. Economical Modeling, 9(29), 1–23 (In Persian).
Zhou, H. (2010). A Framework for Assessing the Systemic Risk of Major Financial Institutions. Journal of Banking and Finance, 33(11), 2036–2049. | ||
آمار تعداد مشاهده مقاله: 467 تعداد دریافت فایل اصل مقاله: 531 |