Document Type : Original Article
Authors
1 1. PhD Student in Financial Management, Department of Financial Management, Faculty of Management and Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran
2 Associate Professor, Department of Financial Management, Faculty of Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran
3 3. Assistant Professor, Department of Business Management, Faculty of Management and Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran
4 4. Professor, Department of Accounting, Faculty of Management and Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran
Abstract
Abstract
The current research has been designed to design the overflow model of probability of financial helplessness in Iran's banking system with the approach of multivariate GARCH models.
The statistical population of the includes the banks admitted to the Tehran Stock Exchange, which have been analyzed in the period of 2015 to 2019. To calculate them, time series data of banks' stock returns, equity value, book value of liabilities and daily value of assets have been used. The current research has investigated the probability of financial helplessness spillover to other banks by applying the KMV method and the concept of distance to default and by using the VAR model and the multivariate GARCH method (DCC-GARCH).
The results of the research have shown that there is a significant relationship between the financial helplessness risk of banks with each other; Mellat Bank is exposed to the highest risk of helplessness contagion and Parsian Bank shows the least effectiveness. Based on the results of the model, the increase in operational risks of banks, including credit risk and market risk, has a significant effect on increasing the risk of financial helplessness, and this risk can spread to other banks in the banks' communication network and then to the entire economy.
Keywords
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