Estimation of Systemic Risk of Iranian Banking System Using MES and CoVaR Measures

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Shakeri Abdorreza; Khosravipour Negar; JAFARI SEYEDEH MAHBOOBEH

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Journal: JOURNAL OF FINANCIAL MANAGEMENT STRATEGY Year:2021 | Volume:8 | Issue:31 Page(s): 235-256

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Title

Estimation of Systemic Risk of Iranian Banking System Using MES and CoVaR Measures

Author(s)

Shakeri Abdorreza | Khosravipour Negar | JAFARI SEYEDEH MAHBOOBEH | Issue Writer Certificate

Keywords

System riskQ1

Banking SystemQ1

Value at Risk (VaR)Q1

Marginal Expected Shortfall(MES)Q1

Change in Conditional Value at Risk (ΔCoVaR)Q1

Abstract

This paper estimates the systemic risk of the Iranian Banking System applying two systemic risk measures namely; Δ CoVaR and MES to estimate the systemic risk of the Iranian Banking System using daily data between January 2008 and July 2019 to assess the impact of the Banking System crisis on the entire economy, and showing the role of the Banking System in systemic risk. The results show that Δ CoVaR measure of systemic risk estimated using ordinary least squares (OLS) and quantile regression are less than of that estimated by the DCC-GARCH model. The reason for this can be seen in spillover effects considered in DCC-GARCH model. The results also show that Δ CoVaR measure estimates the systemic risk of the Banking System less that MES on average. According to the findings of the study, it is suggested that the Monetary Observatory, based on estimated results, enforce stricter rules and regulations on the operations of banks in the country.

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APA: Copy

Shakeri, Abdorreza, Khosravipour, Negar, & JAFARI, SEYEDEH MAHBOOBEH. (2021). Estimation of Systemic Risk of Iranian Banking System Using MES and CoVaR Measures. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, 8(31 ), 235-256. SID. https://sid.ir/paper/385772/en

Vancouver: Copy

Shakeri Abdorreza, Khosravipour Negar, JAFARI SEYEDEH MAHBOOBEH. Estimation of Systemic Risk of Iranian Banking System Using MES and CoVaR Measures. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY[Internet]. 2021;8(31 ):235-256. Available from: https://sid.ir/paper/385772/en

IEEE: Copy

Abdorreza Shakeri, Negar Khosravipour, and SEYEDEH MAHBOOBEH JAFARI, “Estimation of Systemic Risk of Iranian Banking System Using MES and CoVaR Measures,” JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, vol. 8, no. 31 , pp. 235–256, 2021, [Online]. Available: https://sid.ir/paper/385772/en

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