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An Analysis of the Determinants of Systemic Risk
in the Iranian Banking Sector
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Javad Gilanipour *   |
| Azad University, Chalus Branch |
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Abstract: (18 Views) |
| Recent financial crises, especially the 2007-2012 crisis, have highlighted the importance of assessing systemic risk and the factors affecting it in financial institutions, including banks. Given the key role of banks in the Iranian economy, this study investigates the factors influencing systemic risk in the country’s banking sector. To this end, systemic risk in the banking sector is evaluated using the "Marginal Expected Shortfall" metric, and regression analysis is used to assess the impact of internal variables (bank size, financial leverage, loan-to-deposit ratio) and external variables (exchange rate, inflation rate, and the overall stock market index) on the systemic risk of banks. In line with this objective, quarterly data from 17 banks listed on the stock exchange during the period from 2010 to September 2022 have been analyzed. The results of the model indicate that the loan-to-deposit ratio, financial leverage, exchange rate, and inflation rate significantly increase systemic risk, while the overall stock market index does not show a significant effect. The findings of this study can be used in policy-making related to financial stability and bank risk management |
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| Keywords: Systemic Risk, Banking Stability, Marginal Expected Shortfall |
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Full-Text [PDF 720 kb]
(5 Downloads)
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Type of Study: Research |
Subject:
Special
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