The contagiousness of the risk of financial distress in Iranian banks with a dynamic conditional turbulence approach

Subject Areas : Journal of Investment Knowledge

Behrouz Barzegar ¹ , mir feiz Fallah Shams ² , maryam khalili araghi ³ , hashem nikoomaram ⁴

1 - PhD Student in Financial Management, Department of Financial Management, Faculty of Management and Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran.
2 - Associate Professor, Department of Financial Management, Faculty of Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
3 - Assistant Professor, Department of Business Management, Faculty of Management and Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran.
4 - Professor, Department of Accounting, Faculty of Management and Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran .

Received: 2021-10-19 Accepted : 2021-12-25 Published : 2023-03-21

Keywords: Banking network, financial helplessness, Market risk, credit risk, helplessness risk spread,

Abstract :

In the present study, the effect of the spread of financial distress in Iranian banks with a dynamic conditional turbulence approach for the use of economic decision makers and financial managers has been investigated.The statistical population of the study includes Mellat, Tejarat, Saderat and Parsian banks, which have been analyzed in the period of 2016-2016. The present study, using the KMV method and the concept of distance to default, and using the VAR model and the DCC-GARCH method, has investigated the possibility of spreading financial distress to other banks.The results show that there is a significant relationship between the risk of financial helplessness of banks with each other; Bank Mellat has the highest risk of transmission of helplessness and Parsian Bank shows the least effectiveness. According to the results of the model, increasing the operational risks of banks, including credit risk and market risk, has a significant effect on increasing the risk of financial distress and this risk can spread to other banks in the banks' communication network and then the entire economy.

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