عنوان مقاله [English]
In the recent years, the occurrence of systemic risk events is one of the main issues of the complex financial systems. Identification of the systemically important firms is one of the main issues in order to mitigate and control the systemic risk events. In this paper, different network-based systemic risk measures are introduced and compared to each other to identify systemically important firms. These measures are divided in to the interconnectedness and the size measures. Using cross-holding data of Tehran Stock Exchange and network theory principles, the systemically important firms and sectors are identified and their relations are assessed. The results show that the application of integrated cross-holding network leads to a better understanding of the systemic risk in the considered financial market. Moreover, a combination of interconnectedness and size measures can lead to more reliable results. The statistical analysis of the results indicates that there are few firms which have a dominant role in the occurrence of financial systemic risk according to different measures.
JEL: C6, E44, G10, G18, G32
How to cite this paper: Dastkhan, H., & Shams Gharneh, N. (2017). Systemic Risk Measures in Financial Markets: Identifying the Systemically Important Companies in TSE. Quarterly Journal of Risk Modeling and Financial Engineering, 2(1), 1 –21. (In Persian)
رستگار، م.، و کریمی، ن. (1395). ریسک سیستمی در بخش بانکی. فصلنامه مدلسازی ریسک و مهندسی مالی، 1(1)، 1-19.
Allen. F., & Gale, D. (2000). Financial Contagion. Journal of Political Economy, 108, 1-33.
Battiston, S. (2004). Inner Structure of Capital Control Networks, Physica A 338,107 -112.
Brioschi, F., Buzzacchi, L., & Colombo. M. G. (1989). Risk Capital Financing and the Separation of Ownership and Control in Business Groups. Journal of Banking and Finance, 13(1), 747-772.
Fique, J., & Page, F. (2013). Rollover Risk and Endogenous Network Dynamics, Comput Manag Sci,10, 213–230.
Haldane, A. G., & May, R. M. (2011). Systemic Risk in Banking Ecosystems, Nature.
Kim B. H., & Kim. S, (2013). Transmission of the Global Financial Crisis to Korea. Journal of Policy Modeling, 35, 339–353.
Liu, X. F., & Tse, C. K. (2012). Dynamics of Network of Global Stock Market. Accounting and Finance Research, 1, 1-12.
Mantegna, R. N. (1998). Hierarchical Structure in Financial Markets, The European Physical. Journal B - Condensed Matter and Complex Systems, 11, 193-197.
Pasquariello, P. (2002). Imperfect Competition, Information Heterogeneity and Financial Contagion, working paper.
Pecora, N., & Spelta, A. (2015). Shareholding Relationships in the Euro Area Banking Market: A Network Perspective, Physica A, 434, 1–12.
Rastegar, M., & Karimi, N. (2017). Systemic Risk in TSE Banking Sector. Quarterly Journal of Risk Modeling and Financial Engineering, 1(1), 1–19. (In Persian)
Smaga, P. (2014). The Concept of Systemic Risk, Systemic Risk Centre Working Paper, LSE, London.
Vitali, S., & Glattfelder, J. B., & Battiston, S. (2011). The Network of Global Corporate Control, PLoS One, 6(10), e25995.
Zhou, Ch., & Tarashev, N. (2013). Looking at the Tail: price-based Measures of Systemic Importance. BIS Quarterly Review, 47-61.