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:: Volume 28, Issue 94 (Quarterly journal of economic research and policies 2020) ::
qjerp 2020, 28(94): 205-258 Back to browse issues page
Estimation of capital requirements in the Iranian banking system To deal with market and credit risks
Hossein Marzban , Abdolhossein Borhani haghighi , Zahra Dehghan , Sarah Rezaalizadeh *
shiraz university , sarahalizadeh2003@yahoo.com
Abstract:   (2439 Views)
Each financial institution faces different types of risks, with three of the most important risks in the banking system being credit, market and operational risks. In order to manage risk, sufficient capital must be allocated. One of the common ways to calculate the capital needed to deal with these risks is to calculate the capital proportional to each risk and then the algebraic sum to obtain the total capital required. However, many recent studies of financial institutions' risk calculations have also considered the correlation between risks. Therefore, the purpose of this study is to compare the credit and market risk data, combine these two risks together and then calculate the capital requirement in the Iranian banking system to face two cumulative risks. In order to integrate these two types of risks with different statistical characteristics, the Copula function is used. Also, for each of the two risks, the associated risk factors are taken into account and their dynamics are modeled and used in the design of the desired model and to obtain the final distribution functions.
Keywords: Risk aggregation, Capital, Copula function, Risk factors, Volatility, Iranian banking system
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Type of Study: Research | Subject: Special
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marzban H, borhani haghighi A, dehghan Z, rezaalizadeh S. Estimation of capital requirements in the Iranian banking system To deal with market and credit risks. qjerp 2020; 28 (94) :205-258
URL: http://qjerp.ir/article-1-2569-en.html


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Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 28, Issue 94 (Quarterly journal of economic research and policies 2020) Back to browse issues page
فصلنامه پژوهشها و سیاستهای اقتصادی Journal of Economic Research and Policies
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