The pervasive risk of the financial crisis in the Iranian banking system with the ARFIMA-FIGARCH-Delta CoVaR approach and the expected marginal Shortfall
Subject Areas : Financial engineeringleila barati 1 , mirfeiz falahshams 2 , farhad ghafari 3 , Alireza Heidarzadehhanzaee 4
1 - Student of Financial Management Department, Science and Research Branch, Islamic Azad University, Tehran. Iran
2 - Department of Business Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
3 - Department of Financial Management , Science and Research Branch, Islamic Azad University, Tehran. Iran
4 - Department of Finance, North Tehran Branch, Islamic Azad University, Tehran, Iran
Keywords: Value at Risk, Banking system, Systemic Risk, Long-term memory, expected marginal Shortfall,
Abstract :
Systemic risk refers to the risk of failure of the financial system or failure of the entire market. This risk can arise from instability or crisis in financial institutions and can be transmitted to the entire financial system as a result of transmission. The purpose of this paper was to assess the pervasive risk of a financial crisis in the Iranian banking system. In this study, statistical information of banks during the years 1392-1397 has been used. In the first part, the comprehensive risk indicators of the financial crisis are calculated using the Delta CoVaR index, then the risk susceptibility is assessed using the ARFIMA-FIGARCH method. In the first step, the unit root test indicates the existence of a deficit root in the bank stock price index. Comprehensive risk indicators are then calculated and systemic risk transmission modeling is discussed. The results of the model indicated that the systemic risk situation in the country's banking system was abnormal, which was due to the leverage situation of the country's banks. Using the results of this study, it can also be stated that different financial sectors are required to consider sufficient capital for systemic
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