Explaining the Systemic Risk Model Using the Marginal Expected Shortfall Approach (MES) for the Banks Listed on the Tehran Stock Exchange (in Persian)

Kourosh Asayesh (), Mirfeiz Fallahshams (), Hossein Jahangirnia () and Reza Gholami Jamkarani ()
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Kourosh Asayesh: Ph.D. Student, Department of Financial Management, Qom Branch, Islamic Azad University, Qom, Iran.
Mirfeiz Fallahshams: Associate Professor, Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran
Hossein Jahangirnia: Assistant Professor, Department of Accounting, Qom Branch, Islamic Azad University, Qom, Iran.
Reza Gholami Jamkarani: Assistant Professor, Department of Accounting, Qom Branch, Islamic Azad University, Qom, Iran.

The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی و بودجه), 2020, vol. 25, issue 2, 115-134

Abstract: The purpose of this study is to explain the Systemic Risk Model with Marginal Expected Shortfall Approach (MES) as regards the banks listed on the Tehran Stock Exchange. The research population includes 15 banks that were present in Tehran Stock Exchange or Iran’s Over-The-Counter (OTC) for the period 2013 to 2018. Data analysis showed that according to the MES criterion, systemic risk has been declining in the period under review. However, the developments of this index can be divided into two sub-periods 2013-2015 and 2016-2018. In the first period (2013-2015), the level of systemic risk based on this criterion was significantly higher than the level of systemic risk in the second period (2016-2018); Nonetheless, over the time, in the second sub-period, on average, the values amounted to about half of what they were in the first-period level.

Keywords: Risk; System Risk; Marginal Expected Shortfall; Financial Crisis; Value at Risk (search for similar items in EconPapers)
JEL-codes: G21 G32 G33 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:auv:jipbud:v:25:y:2020:i:2:p:115-134

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