Systemic Risk Measures in Financial Markets: Identifying the Systemically Important Companies in TSE

Document Type : applied

Authors

1 Ph.D Candidate, Department of Industrial Engineering and Management Systems, AmirKabir University of Technology, Tehran, Iran

2 Associate Prof, Department of Industrial Engineering and Management Systems, AmirKabir University of Technology, Tehran, Iran

Abstract

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)

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