Volume 25, Issue 2 (Summer 2020)
JPBUD 2020, 25(2): 115-134 |
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Asayesh K, Fallahshams M, Jahangirnia H, Gholami Jamkarani R. (2020). Explaining the Systemic Risk Model Using the Marginal Expected Shortfall Approach (MES) for the Banks Listed on the Tehran Stock Exchange. JPBUD. 25(2), 115-134. doi:10.52547/jpbud.25.2.115
URL: http://jpbud.ir/article-1-1931-en.html
URL: http://jpbud.ir/article-1-1931-en.html
1- Ph.D. Student, Department of Financial Management, Qom Branch, Islamic Azad University, Qom, Iran.
2- Associate Professor, Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran ,Mir.fallahshams@iauctb.ac.ir
3- Assistant Professor, Department of Accounting, Qom Branch, Islamic Azad University, Qom, Iran.
2- Associate Professor, Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran ,
3- Assistant Professor, Department of Accounting, Qom Branch, Islamic Azad University, Qom, Iran.
Abstract: (4653 Views)
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.
Type of Study: Research |
Subject:
financial economics
Received: Sep 11 2020 | Accepted: Nov 27 2020 | ePublished: Feb 17 2021
Received: Sep 11 2020 | Accepted: Nov 27 2020 | ePublished: Feb 17 2021
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