The effect of macroeconomic and specific banking variables on systemic risk Cupola Covar approach

Document Type : Original Article

Authors

1 PhD candidate in financial management, kish international campus, Tehran university

2 Assistant prof., Finance and Insurance Department, faculty of management, Tehran University

3 Assistant prof., Faculty of Industrial Engineering and Management, Shahrood University of Technology

Abstract

This study estimates systemic risk of banks using the Copula function and Conditional Value at Risk and examine the extend to which macroeconomic and bank-specific variables contribute to systemic risrk. we use the statistical information of banks from 2014 to 2019.To describe the dependence between two-time series, the Gumble-Copula with marginal distribution of GARCH-DCC is used. The results indicate that banks' returns were more dependent on the upper distribution tail. According to the results of the estimation the systemic risk of different banks was significantly different. Further, the results indicate that the banks' size and cash flow had a negative effect, while the Value at Risk of bank has positive effect on the CoVaR index. Finally, the banks' ROA had a positive and significant effect on the banks' systemic risk.

Keywords

References

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