Evaluating the systemic risk of financial institutions present in the stock market (banks) using the main risk assessment criteria and analyzing the factors affecting it

Document Type : Research Paper


1 Department of Financial Engineering, Faculty of Humanities,Qom branch, Islamic Azad University, Qom, Iran

2 Department of Finance, Central Tehran Branch, Islamic Azad University, Tehran, Iran

3 Department of Finance, Eslamshahr Branch, Islamic Azad University, Tehran, Iran

4 Department of Accounting, Qom Branch, Islamic Azad University, Qom, Iran


Systemic risk is the risk imposed by a financial institution on the entire economy, the importance of which has become clear to many policymakers and economists since the financial crisis of 2008, and its measurement has been put on the agenda of many researchers. The present study deals with the influence of the risk of financial institutions on each other and the need to pay attention to the systemic risk of the banking sector, in which the risk based on three criteria ΔCoVaR, MES and SRISK for current banks in the capital market during the period of 2014-2018 has been investigated. After calculating these indicators, using correlation and regression analysis, the effect of some of the most important intrinsic variables of banks as well as macroeconomic variables was estimated on the mentioned indicators. Based on the obtained results, the value at risk (VAR) of each bank has a positive effect on the MES and ΔCoVaR criteria, and systemic risk is not limited to large banks, and small banks also play a role in the emergence and expansion of systemic risk. It was also found that the concentration of banks only On the ownership ratio and capital adequacy, cannot control systemic risk. And with the increase in the leverage ratio, the systemic risk increases. However, ΔCoVaR has a direct and positive relationship with the increase in the inflation rate, and MES decreases with the improvement of economic growth.


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Volume 15, Issue 3
March 2024
Pages 33-44
  • Receive Date: 17 January 2023
  • Revise Date: 10 February 2023
  • Accept Date: 19 March 2023