[Home ] [Archive]   [ فارسی ]  
:: year 10, Issue 33 (Autumn 2017) ::
JMBR 2017, 10(33): 457-480 Back to browse issues page
Analysis of the Systemic Risk in the Banking System Using Dynamic Conditional Correlation (DCC)
Davood Danesh Jafari , Teymur Mohammadi , Mohammad Hashem Botshekan , Hamed Pashazadeh 1
Abstract:   (521 Views)

 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.

Full-Text [PDF 1271 kb]   (265 Downloads)    
Type of Study: Empirical Study | Subject: Financial Institutions and Services (G2)
Received: 2017/05/17 | Accepted: 2017/12/11 | Published: 2018/02/6
Send email to the article author

Add your comments about this article
Your username or Email:

Write the security code in the box >


XML   Persian Abstract   Print



year 10, Issue 33 (Autumn 2017) Back to browse issues page
فصلنامه پژوهش‌های پولی-بانکی Journal of Monetary & Banking Research
Persian site map - English site map - Created in 0.05 seconds with 30 queries by YEKTAWEB 3660