The evaluation of Systemic Risk in the Iran Banking System by Delta Conditional Value at Risk ( CoVaR) Criterion

Subject Areas : Financial engineering

asadollah farzinvash ¹ , naser elahi ² , javad gilanipour ³ , Ghadir Mahdavi ⁴

1 - Associate Professor, Economics, Faculty of Economics, University of Tehran, Tehran, Iran
2 - Associate Professor, Economics, Faculty of Economics, University of Moody, Qom, Iran
3 - member of faculty islamic azad university branch of chalous
4 - Assistant Professor, ECO college of insurance, Allameh Tabataba’i University, Tehran, Iran

Received: 2017-06-24 Accepted : 2017-09-16 Published : 2017-12-22

Keywords: Delta Conditional Value at Risk, Dynamic conditional correlation, Systemic Risk,

Abstract :

The Banking Crisis is previous decades caused the discussion of Systemic Risk in the financial market, including the Banks, has been taken into Consideration by Policy- makers. Based on this in this research using Delta Conditional Value at Risk (CoVaR), the Systemic risk in Iran Banking Section has been evaluated. For this reason, seventeen banks out of all ones which have been listed in Tehran Stock Exchange and the equity of their Owners from 1389 to 1395 was available, have been chosen. The results Show that CoVaR for Khavarmianeh Bank Was the most (15.61) and for Sarmayeh Bank was the least (0.32). These results indicate that the crisis or disturbance in Khavarmianeh Bank more than the other Banks, affects the Financial System and Sarmayeh Bank has the least effect. In other words, any crisis in khavarmianeh Bank will give a rise of about 15.61 Percent to the Financial System risk, while the corresponded value for the Sarmayeh Bank is only 0.32 percent.