The Estimation of Systematic Risk in Iranian Financial Sectors (Δ CoVaR Approach)

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HEKMATI FARID SAMAD; REZAZADEH ALI; MALEK ALI

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Paper Information

Journal: Journal of Economic Modelling Year:2019 | Volume:12 | Issue:(43) 3 Page(s): 99-122

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Title

The Estimation of Systematic Risk in Iranian Financial Sectors (Δ CoVaR Approach)

Author(s)

HEKMATI FARID SAMAD | REZAZADEH ALI | MALEK ALI | Issue Writer Certificate

Keywords

JEL Classification:C22Q1

G21Q1

G32.Keywords:Systematic RiskQ1

Financial SectorsQ1

Difference Conditional Value at RiskQ1

Abstract

The occurrence of last crisis has led to the consideration of systematic risk and it's transmission in theoretical and empirical point view. Hence, the main aim of this paper is to estimate and localize of systematic risk in Financial Sectors of Iran such as Stock, Insurance and Bank sectors during the period of 1995-2015. The quintile regression econometric approach has been used for estimating the Difference Conditional Value at Risk in these sectors. The main empirical findings of post estimation indicated that there is significant difference between Stock, Insurance and Bank sectors as main Financial Sectors. Moreover, the results of Fridman test as a method for ordering of variable status showed that, the systematic risk of insurance is high and risk of bank is low during the period of study. So, there is significant difference between orders of Financial Sectors in Iran over the period of study.

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APA: Copy

HEKMATI FARID, SAMAD, REZAZADEH, ALI, & MALEK, ALI. (2019). The Estimation of Systematic Risk in Iranian Financial Sectors (Δ CoVaR Approach). ECONOMIC MODELLING, 12((43) 3 ), 99-122. SID. https://sid.ir/paper/367106/en

Vancouver: Copy

HEKMATI FARID SAMAD, REZAZADEH ALI, MALEK ALI. The Estimation of Systematic Risk in Iranian Financial Sectors (Δ CoVaR Approach). ECONOMIC MODELLING[Internet]. 2019;12((43) 3 ):99-122. Available from: https://sid.ir/paper/367106/en

IEEE: Copy

SAMAD HEKMATI FARID, ALI REZAZADEH, and ALI MALEK, “The Estimation of Systematic Risk in Iranian Financial Sectors (Δ CoVaR Approach),” ECONOMIC MODELLING, vol. 12, no. (43) 3 , pp. 99–122, 2019, [Online]. Available: https://sid.ir/paper/367106/en

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