A Framework for Measuring and Predicting Systemic Risk with the Marginal Expected Shortfall Approach (MES) in Iran Capital Market

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BABAJANI JAFAR; BOLO GHASEM; GHAZALI AMIN

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Paper Information

Journal: JOURNAL OF FINANCIAL MANAGEMENT STRATEGY Year:2018 | Volume:6 | Issue:3 (22) Page(s): 1-29

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Title

A Framework for Measuring and Predicting Systemic Risk with the Marginal Expected Shortfall Approach (MES) in Iran Capital Market

Author(s)

BABAJANI JAFAR | BOLO GHASEM | GHAZALI AMIN | Issue Writer Certificate

Keywords

Systemic riskQ1

systemic risk measurementQ1

prediction of systemic riskQ1

marginal expected shortfall (MES)Q1

risk contagionQ1

dynamic conditional correlation (DCC)Q1

Abstract

In this research, it is attempted to present a framework for estimating and predicting Systemic risk in Iran capital market using the marginal expected shortfall approach (MES), which has recently been considered in Systemic risk literature. On this basis, MES as a Systemic risk measure, will be analyzed in terms of assumptions for market and firm returns as a function of mean, volatility, correlation, and tail expectations and its components will be measured using an ARMA-GJR-GARCH-DCC framework and a nonparametric tail expectation estimator. In this way, a weekly panel will be created from the company's MES. On the other hand, the Systemic risk is built up in a period that looks calm and low fluctuations, and is accumulated until activation. In other words, Systemic risk potential increases as fluctuations decrease. In this study, it was attempted to predict Systemic risk by taking advantage of the panel structure of the data and the relationship between MES and firm-specific variables that are available in certain sections.

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APA: Copy

BABAJANI, JAFAR, BOLO, GHASEM, & GHAZALI, AMIN. (2018). A Framework for Measuring and Predicting Systemic Risk with the Marginal Expected Shortfall Approach (MES) in Iran Capital Market. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, 6(3 (22)), 1-29. SID. https://sid.ir/paper/261632/en

Vancouver: Copy

BABAJANI JAFAR, BOLO GHASEM, GHAZALI AMIN. A Framework for Measuring and Predicting Systemic Risk with the Marginal Expected Shortfall Approach (MES) in Iran Capital Market. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY[Internet]. 2018;6(3 (22)):1-29. Available from: https://sid.ir/paper/261632/en

IEEE: Copy

JAFAR BABAJANI, GHASEM BOLO, and AMIN GHAZALI, “A Framework for Measuring and Predicting Systemic Risk with the Marginal Expected Shortfall Approach (MES) in Iran Capital Market,” JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, vol. 6, no. 3 (22), pp. 1–29, 2018, [Online]. Available: https://sid.ir/paper/261632/en

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