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The Evaluation of Systemic Risk in the Iran Banking System by Marginal Expected Shortfall (MES) Criterion
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Javad Gilanipour *   |
| Islamic Azad University, branch of chalous , gilanipour@yahoo.com |
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Abstract: (3293 Views) |
Today, Systemic Risk is being analyzed as one of the major issues in financial institutions. Banks are one of the institutions that can be linked to systemic risk based on global experience. Therefore, in the study, we evaluate the systemic risk in the banking system of the country via the marginal expected shortfall (MES) criterion. For the purpose of the present study, 17 banks listed on the Tehran Stock Exchange that had seasonal information required for this research over a period of 1389 to 1397 were selected and the systemic risk in these banks was calculated by MES criterion. The finding of this study show the difference between MES of banks and indicate that if a crisis occurs in the financial system or market, the banks are affected but the drgree of impact is different from the finance crisis. Furthermore, compared with other banks, the estimation of the highest marginal expected shortfall belonged to bank gardeshgari (15. 84) and the lowest belonged to Bank Sarmayeh (-18. 38). In other words, if there is a crisis in the market, Bank Gardeshgari and Bank Sarmayeh are expected to experience a return of 15. 84 percent and -18. 34 percent, respectively.
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| Keywords: Systemic Risk, Expected Shortfall, Marginal Expected Shortfall, Dynamic Conditional Correlation model |
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Full-Text [PDF 877 kb]
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Type of Study: Research |
Subject:
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