پیوندهای مفید
آمار
| تعداد نشریات | 21 |
| تعداد شماره‌ها | 635 |
| تعداد مقالات | 9,313 |
| تعداد مشاهده مقاله | 67,881,172 |
| تعداد دریافت فایل اصل مقاله | 17,088,225 |
Evaluating the systemic risk of financial institutions present in the stock market (banks) using the main risk assessment criteria and analyzing the factors affecting it | ||
| International Journal of Nonlinear Analysis and Applications | ||
| مقاله 4، دوره 15، شماره 3، خرداد 2024، صفحه 33-44 اصل مقاله (657.52 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22075/ijnaa.2023.29952.4300 | ||
| نویسندگان | ||
| Hamidreza Hosseinzadeh1؛ Mirfeiz Fallah Shams* 2؛ Hamidreza Kordlouie3؛ Reza Gholami Jamkarani4 | ||
| 1Department of Financial Engineering, Faculty of Humanities,Qom branch, Islamic Azad University, Qom, Iran | ||
| 2Department of Finance, Central Tehran Branch, Islamic Azad University, Tehran, Iran | ||
| 3Department of Finance, Eslamshahr Branch, Islamic Azad University, Tehran, Iran | ||
| 4Department of Accounting, Qom Branch, Islamic Azad University, Qom, Iran | ||
| تاریخ دریافت: 27 دی 1401، تاریخ بازنگری: 21 بهمن 1401، تاریخ پذیرش: 28 اسفند 1401 | ||
| چکیده | ||
| Systemic risk is the risk imposed by a financial institution on the entire economy, the importance of which has become clear to many policymakers and economists since the financial crisis of 2008, and its measurement has been put on the agenda of many researchers. The present study deals with the influence of the risk of financial institutions on each other and the need to pay attention to the systemic risk of the banking sector, in which the risk based on three criteria ΔCoVaR, MES and SRISK for current banks in the capital market during the period of 2014-2018 has been investigated. After calculating these indicators, using correlation and regression analysis, the effect of some of the most important intrinsic variables of banks as well as macroeconomic variables was estimated on the mentioned indicators. Based on the obtained results, the value at risk (VAR) of each bank has a positive effect on the MES and ΔCoVaR criteria, and systemic risk is not limited to large banks, and small banks also play a role in the emergence and expansion of systemic risk. It was also found that the concentration of banks only On the ownership ratio and capital adequacy, cannot control systemic risk. And with the increase in the leverage ratio, the systemic risk increases. However, ΔCoVaR has a direct and positive relationship with the increase in the inflation rate, and MES decreases with the improvement of economic growth. | ||
| کلیدواژه‌ها | ||
| systemic risk؛ conditional value at risk؛ marginal expected loss؛ SRISK؛ ΔCoVaR؛ MES | ||
| مراجع | ||
|
[1] V. Acharya, R. Engle and M. Richardson, Capital shortfall: A new approach to ranking and regulating systemic risks, Amer. Econ. Rev. 102 (2012), no. 3, 59–64. [2] V. Acharya, L. Pedersen, T. Philippon and M. Richardson, Measuring systemic risk, working paper, New York University, 2010. [3] T. Adrian and M.K. Brunnermeier, CoVaR, Working Paper, Princeton University and Federal Reserve Bank of New York, 2011. [4] Z. Ahmadi and S.M.J. Farhanian, Comprehensive risk measurement with CoVaR and MES approach in Tehran stock exchange, Stock Exchange Quart. 7 (2013), no. 26. [5] A.M. Andries and E. Galasan, Measuring financial contagion and spillover effects with a state-dependent sensitivity value-at-risk model, Risks 8 (2020), no. 1, 5. [6] B. Arnold, C. Borio, L. Ellis and F. Moshirian, Systemic risk, Basel III, global financial stability and regulation, J. Bank. Financ. 12 (2012), no. 36, 3123–3124. [7] M. Bhattacharya, J.N. Inekwe and M.R. Valenzuela, Credit risk and financial integration: An application of network analysis, Int. Rev. Financ. Anal. 72 (2020), 1015. [8] D. Bisias, M.D. Flood, A.W. Lo and S. Valavanis, A survey of systemic risk analytics, U.S. Department of Treasury, Office of Financial Research, 2012. [9] C. Brownlees and R. Engle, Volatility, correlation and tails for systemic risk measurement, Available at SSRN, 2012. [10] M.K. Brunnermeier and L.H. Pedersen, Market liquidity and funding liquidity, Rev. Financ. Stud. 22 (2009), no. 6. [11] R.J. Caballero, The” other” imbalance and the financial crisis, Nat. Bureau Econ. Res. (2010), no. w15636. [12] G. Choi, Identification of N-SIFI and directions for macroprudential supervision, Financ. Stability Stud. 12 (2012), no. 1, 89–135. [13] R. Engle, New frontiers for ARCH models, J. Appl. Econ. 17 (2002), no. 5, 425–446. [14] F.S.B., Report to G20 finance ministers and governors guidance to assess the systemic importance of financial institutions, markets and instruments: Initial considerations, Wayamba J. Manag. 15 (2009), no. 1. [15] P. Gai and S. Kapadia, Contagion in financial networks, Proc. Royal Soc. A: Math. Phys. Eng. Sci. 466 (2010), no. 2120, 2401–2423. [16] P. Gasper, S. Ge, A. Loomis and S. Miller, Prospects of ecotourism in Hong Kong: A case study on Tung Ping Chau, Excerpt from https://web.wpi.edu/Pubs/E-project/Available/E-project-022912-111516/unrestricted/Ecotourism in Hong Kong Final Report.pdf, 8 (2012), p. 16. [17] S. Giglio, B. Kelly, S. Pruitt and X. Qiao, Systemic risk and the macroeconomy: an empirical evaluation, J. Financ. Econ. 119 (2016), no. 3, 457–471. [18] G. Girardi and A.T. Ergun, Systemic risk measurement: multivariate GARCH estimation of CoVaR, J. Bank. Financ. 37 (2013), no. 8, 3169–3180. [19] Group of Ten, Report on consolidation in the financial sector: Chapter III. Effects of consolidation on financial risk, International Monetary Fund Working Paper, 2001. [20] X. Jin, How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation, Central Bank of Luxembourg, 2018. [21] S.A. Hosseini and S.S. Razavi, The role of capital in the systemic risk of financial institutions, Experiment. Account. Res. 4 (2013), no. 1, 127–147. [22] P. Kent and P. Kjaer, The efficacy of targeted interventions for modifiable psychosocial risk factors of persistent nonspecific low back pain–a systematic review, Manual Therapy 17 (2012), no. 5, 385–401. [23] L. Laeven, L. Ratnovski and H. Tong, Bank size, capital, and systemic risk: some international evidence, J. Bank. Financ. 69 (2016), S25–S34. [24] T. Laun and J. Wallenius, Social insurance and retirement: a cross-country perspective, Rev. Econ. Dyn. 22 (2016), 72–92. [25] G. Lopez-Espinosa, A. Moreno, A. Rubia and L. Valderrama, Systemic risk and asymmetric responses in the financial industry, J. Bank. Financ. 58 (2015), no. C, 471–485. [26] G. Mahdavi Klishmi, N. Elahi, E. Farzinosh and J. Gilanipour, Systemic risk assessment in Iran’s banking network by the criteria of value changes at conditional risk, Financ. Eng. Secur. Manag. Quart. 8 (2016), no. 33, 265–281. [27] F.S. Mishkin, Systemic risk and the international lender of last resort, working paper, Board of Governors of the Federal Reserve, Speech delivered at the Tenth Annual International Banking Conference, Federal Reserve Bank of Chicago, 2007. [28] A. Moussa, Contagion and systemic risk in financial networks, Columbia University, 2011. [29] M. Rodriguez-Moreno and J.I. Pena, Systemic risk measures: the simpler the better?, J. Bank. Financ. 37 (2013), 1817–1831. [30] E.S. Rosengren, Asset bubbles and systemic risk, Glob. Interdepend. Center’s Conf. Financ. Interdepend. World’s Post-Crisis Capital Markets, Speech, 2010, no. 32. [31] M.A. Rostgar and N. Karimi, Systemic risk in the banking sector, Risk Model. Financ. Eng. Quart. 1 (2015), no. 1, 1–19. [32] J. Yun and H. Moon, Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models, Pacific-Basin Finance J. 27 (2014), 94–114. [33] N.A. Tarashev, C.E. Borio and K. Tsatsaronis, Attributing systemic risk to individual institutions, BIS Working Paper No. 308, Available at SSRN: https://ssrn.com/abstract=1631761, (2010). | ||
|
آمار تعداد مشاهده مقاله: 14,479 تعداد دریافت فایل اصل مقاله: 2,033 |
||