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Iranian Economic Review، جلد ۲۵، شماره ۴، صفحات ۰-۰
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عنوان انگلیسی Systemic Risk Calculation in the Iranian Banking System, Employing the Conditional Value-at-Risk Approach (2009-2019)
چکیده انگلیسی مقاله Systemic risk is the collapse and crisis in the financial system that is caused by default or crisis in one or more firms. In this paper, the conditional value-at-risk (𝐶o𝑉𝑎𝑅) method is used as a measure for this kind of risk. This measure is going to be calculated for the five largest banks of the country including Mellat, Tejarat, Saderat, Parsian, and EN from June 17, 2009, to May 7, 2019, and the share of each bank in overall systemic risk is going to be identified. This paper is to investigate the effectiveness and participation of each of these banks in systemic risk. The results show that Parsian, Mellat, EN, Tejarat, and Saderat banks are the most involved in the systemic risk of the whole system, respectively. In addition, we try to calculate the effect of systemic risk of the entire banking system on each of these banks and the impact of each of these banks on the crisis in another bank. The results of this section indicate that in a crisis in the whole system, Mellat bank is the most stable bank, and accepts less impact of the crisis than other banks. By contrast, Parsian and Tejarat banks are the most affected by the crisis in the banking network. 
کلیدواژه‌های انگلیسی مقاله Keywords Banking System, Conditional Value-at-Risk (𝐶𝑂𝑉𝑎𝑅), Systemic Importance, Systemic Risk, Value-at-Risk (𝑉𝑎𝑅). JEL Classification C21, G01, G21, G32
نویسندگان مقاله Seyed Ali Naseri |
Faculty of Economics, University of Tehran, Tehran, Iran

Farkhondeh Jabalameli |
Faculty of Economics, University of Tehran, Tehran, Iran

Sajad Barkhordary Dorbash |
Faculty of Economics, University of Tehran

نشانی اینترنتی https://ier.ut.ac.ir/article_85079_3fbae357b7158d405ab081eb448c5d1c.pdf
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