Systemic Risk in TSE Banking Sector

Document Type : applied

Authors

1 Assistant Prof., Faculty of Industrial & Systems Engineering, Tarbiat Modares University, Tehran, Iran

2 MSc. Student, Financial Engineering, Khatam University, Tehran, Iran

Abstract

Systemic risk is the risk of collapse in the financial system. Due to the financial crisis that hit the world economy in 2008, the study of systemic risk in the banking sector became more attractive for researchers. In this research we study systemic risk in the Iranian banking sector by using a conventional systemic risk measure, ∆CoVaR. To compute the measure, we employ dynamic conditional correlation model. For this purpose, we estimate the mentioned systemic risk measure of the seven Iranian banks from March of 2010 to March of 2015. Then using panel data regression, we investigate the relationships between the systemic risk measure and certain bank characteristic variables (i.e. VaR, size-Log of Equity, Leverage ratio). Our empirical findings shows that, the systemic risk contributions of banking sector is high and studied banks has different ranking based on ∆CoVaR. finally, the systemic risk contribution is closely related to mentioned bank characteristic variables
JEL: G11, G21, G32
How to cite this paper: Rastegar, M. & Karimi, N. (2016). Systemic Risk in TSE Banking Sector. Quarterly Journal of Risk Modeling and Financial Engineering, 1(1), 1–19. (In Persian)

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Journal of Risk modeling and Financial Engineering
Volume 1, Issue 1 - Serial Number 1
September 2016
Pages 1-19

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