The Role of Capital in Financial Institutions and Systemic Risk

پژوهش‌های تجربی حسابداری

Seyed Ali Hoseini¹  Seyedeh Somayeh Razavi² 

[1] استادیار حسابداری دانشگاه الزهرا;دانشجوی کارشناسی ارشد دانشگاه الزهرا;

关键词: Financial Crisis;    Systematic Risk;    Financial Regulation;    Risk management;    Capital Requirements;   

DOI  :  10.22051/jera.2015.1887

来源: DOAJ

【 摘 要 】

This research estimates a measure of systemic risk, namely Systemic Expected Shortfall, as the aggregate amount of capital that financial institutions need in order to offset a certain fraction of liabilities when the financial system is undercapitalized. Each financial institution’s SES is a combination of market capitalization, appropriate capital adequacy ratios and liabilities. The main purpose of this study is rating the financial institutions in the current economy. To do this, a sample of 31 financial institutions listed in Tehran stock exchange during period from 2009 to 2012 was selected. Therefore, this study: (i) derives the appropriate leverage level that allows financial intermediaries don’t have negative externality to overall economy during the possible crisis; (ii) explains the ability of the Marginal Expected Shortfall and insolvency risk measures to estimate the percentage variation of market capitalization and liabilities using multiple Regression; (iii) identifies the most systemic importance of financial institutions (SIFIs), using  SES.

【 授权许可】

Unknown