Measuring and Analysis of Systemic Risk in Iranian Banking Sector and Investigating Its Determinants

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ABRISHAMI HAMID; MEHRARA MOHSEN; RAHMANI MOHAMMAD

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Journal Paper

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Journal: JOURNAL OF ECONOMIC MODELING Year:2019 | Volume:4 | Issue:3 (14) Page(s): 11-36

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Information Journal Paper

Title

Measuring and Analysis of Systemic Risk in Iranian Banking Sector and Investigating Its Determinants

Author(s)

ABRISHAMI HAMID | MEHRARA MOHSEN | RAHMANI MOHAMMAD | Issue Writer Certificate

Keywords

Systemic RiskQ1

MESQ1

ΔCoVaRQ1

SRISKQ1

Banking SectorQ1

Abstract

In this paper, we study systemic by using three famous Systemic Risk measures-MES, Δ CoVaR and SRISK-for Iranian banks that has listed in capital markets and have been active during 2013/5/4 to 2018/9/5. After calculating of these three measures, we have estimated the impact of some characteristics of banks and some macroeconomic variables on these measures. The result of correlation and regression analysis of panel data shows that value-at-risk of banks has positive impact on MES and Δ CoVaR. However, unlike the theatrical literature, we did not find a positive relation between bank size and these Systemic Risk measures. Therefore, we concluded that small banks has contribution to Systemic Risk as well as large banks. Furthermore, the impact of capital adequacy and leverage ratio on Systemic Risk measures was so weak. Finally, we find that improvement in gdp growth decrease the MES and rising the inflation increases the Δ CoVaR.

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APA: Copy

ABRISHAMI, HAMID, MEHRARA, MOHSEN, & RAHMANI, MOHAMMAD. (2019). Measuring and Analysis of Systemic Risk in Iranian Banking Sector and Investigating Its Determinants. JOURNAL OF ECONOMIC MODELING, 4(3 (14) ), 11-36. SID. https://sid.ir/paper/384820/en

Vancouver: Copy

ABRISHAMI HAMID, MEHRARA MOHSEN, RAHMANI MOHAMMAD. Measuring and Analysis of Systemic Risk in Iranian Banking Sector and Investigating Its Determinants. JOURNAL OF ECONOMIC MODELING[Internet]. 2019;4(3 (14) ):11-36. Available from: https://sid.ir/paper/384820/en

IEEE: Copy

HAMID ABRISHAMI, MOHSEN MEHRARA, and MOHAMMAD RAHMANI, “Measuring and Analysis of Systemic Risk in Iranian Banking Sector and Investigating Its Determinants,” JOURNAL OF ECONOMIC MODELING, vol. 4, no. 3 (14) , pp. 11–36, 2019, [Online]. Available: https://sid.ir/paper/384820/en

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