What are the most effective and vulnerable firms in financial crisis? A network representation of CoVaR in an emerging market

Hossein Dastkhan ()
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Hossein Dastkhan: Department of Financial Engineering, Faculty of Financial Sciences, Kharazmi University, Tehran, Iran

International Journal of Financial Engineering (IJFE), 2019, vol. 06, issue 01, 1-31

Abstract: In this paper, financial networks are applied to develop new measures of systemic risk. Using the CoVaR as a well-defined systemic risk measure, risk spillovers among different firms are estimated in Tehran Stock Exchange. Networks of systemic risk exposures are represented across time and two indices of vulnerability and systemic importance are introduced to define the most effective and vulnerable firms. The results show that the proposed network-based indices have a good performance to identify the vulnerable and systemically important firms. The results also show that when the market is in periods of financial downturn/crisis, the network interconnectedness was maximized.

Keywords: Systemic risk; CoVaR; financial networks; vulnerability; systemic importance; emerging markets (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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DOI: 10.1142/S2424786319500075

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