Hosseinzadeh, Hamidreza, Fallah Shams, Mirfeiz, Kordlouie, Hamidreza, Gholami Jamkarani, Reza. (1402). 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. هنرهای کاربردی, 15(3), 33-44. doi: 10.22075/ijnaa.2023.29952.4300
Hamidreza Hosseinzadeh; Mirfeiz Fallah Shams; Hamidreza Kordlouie; Reza Gholami Jamkarani. "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". هنرهای کاربردی, 15, 3, 1402, 33-44. doi: 10.22075/ijnaa.2023.29952.4300
Hosseinzadeh, Hamidreza, Fallah Shams, Mirfeiz, Kordlouie, Hamidreza, Gholami Jamkarani, Reza. (1402). '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', هنرهای کاربردی, 15(3), pp. 33-44. doi: 10.22075/ijnaa.2023.29952.4300
Hosseinzadeh, Hamidreza, Fallah Shams, Mirfeiz, Kordlouie, Hamidreza, Gholami Jamkarani, Reza. 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. هنرهای کاربردی, 1402; 15(3): 33-44. doi: 10.22075/ijnaa.2023.29952.4300

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
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
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