Explaining the Systemic Risk Model Using the Marginal Expected Shortfall Approach (MES) for the Banks Listed on the Tehran Stock Exchange

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Asayesh Kourosh; FALLAHSHAMS MIRFEIZ; JAHANGIRNIA HOSSEIN; GHOLAMI JAMKARANI REZA

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Journal: Economic and Planning Research Year:2020 | Volume:25 | Issue:2 Page(s): 115-134

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Title

Explaining the Systemic Risk Model Using the Marginal Expected Shortfall Approach (MES) for the Banks Listed on the Tehran Stock Exchange

Author(s)

Asayesh Kourosh | FALLAHSHAMS MIRFEIZ | JAHANGIRNIA HOSSEIN | GHOLAMI JAMKARANI REZA | Issue Writer Certificate

Keywords

RiskQ2

Systemic RiskQ1

Marginal Expected ShortfallQ1

Financial CrisisQ1

Value at RiskQ2

Abstract

The purpose of this study is to explain the Systemic Risk Model with Marginal Expected Shortfall Approach (MES) as regards the banks listed on the Tehran Stock Exchange. The research population includes 15 banks that were present in Tehran Stock Exchange or Iran’ s Over-The-Counter (OTC) for the period 2013 to 2018. Data analysis showed that according to the MES criterion, systemic Risk has been declining in the period under review. However, the developments of this index can be divided into two sub-periods 2013-2015 and 2016-2018. In the first period (2013-2015), the level of systemic Risk based on this criterion was significantly higher than the level of systemic Risk in the second period (2016-2018); Nonetheless, over the time, in the second sub-period, on average, the values amounted to about half of what they were in the first-period level.

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APA: Copy

Asayesh, Kourosh, FALLAHSHAMS, MIRFEIZ, JAHANGIRNIA, HOSSEIN, & GHOLAMI JAMKARANI, REZA. (2020). Explaining the Systemic Risk Model Using the Marginal Expected Shortfall Approach (MES) for the Banks Listed on the Tehran Stock Exchange. THE JOURNAL OF PLANNING AND BUDGETING, 25(2 ), 115-134. SID. https://sid.ir/paper/413683/en

Vancouver: Copy

Asayesh Kourosh, FALLAHSHAMS MIRFEIZ, JAHANGIRNIA HOSSEIN, GHOLAMI JAMKARANI REZA. Explaining the Systemic Risk Model Using the Marginal Expected Shortfall Approach (MES) for the Banks Listed on the Tehran Stock Exchange. THE JOURNAL OF PLANNING AND BUDGETING[Internet]. 2020;25(2 ):115-134. Available from: https://sid.ir/paper/413683/en

IEEE: Copy

Kourosh Asayesh, MIRFEIZ FALLAHSHAMS, HOSSEIN JAHANGIRNIA, and REZA GHOLAMI JAMKARANI, “Explaining the Systemic Risk Model Using the Marginal Expected Shortfall Approach (MES) for the Banks Listed on the Tehran Stock Exchange,” THE JOURNAL OF PLANNING AND BUDGETING, vol. 25, no. 2 , pp. 115–134, 2020, [Online]. Available: https://sid.ir/paper/413683/en

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