Analysis of the Systemic Risk in the Banking System Using Dynamic Conditional Correlation (DCC) (in Persian)

Davood Danesh Jafari (), Teymur Mohammadi (), Mohammad Hashem Botshekan () and Hamed Pashazadeh ()
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Davood Danesh Jafari: Iran
Teymur Mohammadi: Iran
Mohammad Hashem Botshekan: Iran
Hamed Pashazadeh: Iran

Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), 2017, vol. 10, issue 33, 457-480

Abstract: This paper study the systemic risk in Iranian banking system. To assess the systemic risk in the banking system, we use the Dynamic Conditional Correlation (DCC) GARCH model to measure marginal expected shortfall (MES). This research is aimed to calculate the systemic risk in the banks and rank them respect to this measure. Also, we determine the role of Iranian banks to systemic risk by using DCC – GARCH model. Moreover, Assessing the effect of the recent global financial crisis on banking system shows that the crisis has not any significant effects on Iranian banks during the period of 2009-2016. Given, we select six banks as a sample subject to the size of banks and the time period. Then the Banks’ performance is analyzed in the face of the global financial crisis and domestic financial shocks. This paper concludes that there is not any specific factor which directly transfers the global crisis to the domestic banking.

JEL-codes: G21 G28 G32 (search for similar items in EconPapers)
Date: 2017
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