List of Articles Pervasive risk

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  1 - Designing and explaining the dynamic model of comprehensive risk transfer of cryptocurrency in the financial markets of the world
  Reza Karimi Mirfeiz Falahshams Shadi Shahverdiani Gholamreza zomorodian
  10.30495/ecomag.2023.1979337.1057
  The purpose of this article was to provide a dynamic and dynamic model to explain how to transfer the pervasive risk of cryptocurrencies in the world markets. In this regard, the statistical information of the cryptocurrency market index and the data of the Nasdaq, New More

  The purpose of this article was to provide a dynamic and dynamic model to explain how to transfer the pervasive risk of cryptocurrencies in the world markets. In this regard, the statistical information of the cryptocurrency market index and the data of the Nasdaq, New York, Toronto, London, Frankfort, Madrid, Shanghai, Hong Kong, Tokyo, and Mumbai stock market indices were used. In this research, the data related to the cryptocurrency market and financial markets from July 2012 to July 2022 have been used. In the first part of this study, using the information of the period 2012-2022, based on the frequency of monthly data for the financial markets, the comprehensive risk criterion has been calculated using the method of value at risk, conditional interval and expected loss. In the second part, using multivariate conditional heteroscedastic variance autocorrelation method (MGARCH), the external effects related to pervasive risk related to cryptocurrency were estimated on financial markets. The obtained results indicate that there are spillover effects between financial markets and an increase in pervasive risk in each of the financial markets leads to an increase in pervasive risk in other financial markets. In the second part, using multivariate conditional heteroscedastic variance autocorrelation method (MGARCH), the external effects related to pervasive risk related to cryptocurrency were estimated on financial markets. The obtained results indicate that there are spillover effects between financial markets and an increase in pervasive risk in each of the financial markets leads to an increase in pervasive risk in other financial Manuscript profile
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  2 - Inclusive Risk Estimation and Its Contagion in the Country's Financial System with the Approach of Dynamic Conditional Correlation Model
  Leila Barati Mirfeiz Fallah Farhad Ghafari Alireza Heidarzadeh Hanzaei
  The purpose of this paper was to assess the overall risk in various financial sectors, including banking, insurance and investment companies. Pervasive risk in general indicates the possibility of collapse of the entire financial system in a crisis. While in most cases, More

  The purpose of this paper was to assess the overall risk in various financial sectors, including banking, insurance and investment companies. Pervasive risk in general indicates the possibility of collapse of the entire financial system in a crisis. While in most cases, investors in different markets worry about losing the value of a stock or commodity and measure the risks involved, the risk is pervasive, focused on the market as a whole and likely to fall. In this study, the method of measuring changes in value at risk based on the returns of financial institutions has been used. In this study, statistical information of banks, investment companies and commercial insurances during the years 1380-1399 has been used. The results show that all three sectors during this time period are significantly involved in hedging risk in Iran and investment companies have the largest share in hedging risk, followed by segments respectively. Banking and insurance are included. Manuscript profile