Journal of Asset Management and Financing

Research Paper

Decomposition of Systemic Risk and Analysis of the Relationships of Its Dimensions with the Characteristics and Financial Performance of the Banks Listed in Tehran Stock Exchange (TSE)

Reza Raei; Ali Namaki; Hossein Askarirad

Volume 11, Issue 1 , January 2023, Pages 1-30

https://doi.org/10.22108/amf.2022.132922.1728

Abstract

In this study, systemic risk index (β) was measured and decomposed by using the extreme value theory in the banks listed in Tehran Stock Exchange (TSE) during 2013-2021. This index was divided into two dimensions: total bank risk (tail risk) and link of the bank to the system during the financial ... Read More In this study, systemic risk index (β) was measured and decomposed by using the extreme value theory in the banks listed in Tehran Stock Exchange (TSE) during 2013-2021. This index was divided into two dimensions: total bank risk (tail risk) and link of the bank to the system during the financial crisis (system linkage). Using autoregressive distributed lag (ARDL) regression, the relationships between systemic risk and its dimensions with the characteristics of the banks and the relationships between their economic value-added (EVA) and various financial risks, including systemic risk, were calculated. According to the results, Post-Bank, Tejarat, and Saderat banks imposed the highest systemic risks and Karafarin and Eghtesad-e Novin banks imposed the lowest systemic risks, respectively. The results showed that with increasing the bank size, the systemic and tail risks that are specific to each bank decreased and the systemic linkage increased. There was a positive and significant relationship between the EVAs of the banks and their ratios of regulatory capital to credit risk-weighted assets. Also, there was a negative and significant relationship between the EVAs of the banks and their ratios of core capital to operational risk-weighted assets, net sustainable financial resources, and interest rate risk variables. IntroductionIn recent years, concerns about the banking industry have increased in the Iranian economy. The source of these concerns is risks, such as liquidity, credit, and operational and market risks. Since the banks are interconnected and interact with each other, the concept of systemic risk is also introduced. Systemic risk means the possibility of a sudden collapse of a financial system that can cause instability in financial markets. The banking crises of last decades have caused regulators to consider systemic risk. To establish financial stability, it is necessary to identify, evaluate, and control systemic risks in different financial markets. In this study, the effects of the risks on the performance of the banks at the levels of individual risk (financial risks) and interaction with other banks (systemic risk) were investigated. In addition to measuring and monitoring the various risks of the banks, it was important to identify the relationships and effects of the characteristics of the banks on each of these risks, which were useful for risk control at the level of each bank. Therefore, considering that systemic risk was the focus of this study, the effects of the characteristics of the studied banks on the systemic risk were investigated. Method and DataIn this study, the systemic risk index was calculated using Extreme Value Theory (EVT), which enabled the researchers to divide it into the two components of tail risk and systemic linkage. To examine the relationships between systemic risk and bank characteristics (CAMEL ratio, size, and asset growth rate) and the effect of financial risks on bank performance, the autoregressive distributed lag (ARDL) regression was used given that the research data were cross-sectional and independent variables might affect the dependent variable with delay. Standardized Economic Value Added (EVA) is an index of the financial performance of banks. The sample of the study included the banks listed in Tehran Stock Exchange (TSE) during 2013-2021. FindingsThe results showed that Post-Bank, Tejarat, and Saderat banks had the highest systemic risks, Post-Bank, Saderat, and Parsian banks had the highest tail risks, and Tejarat, Mellat, and Post-Bank banks had the highest systemic linkage risks, respectively. Karafarin and Eghtesad-e Novin banks had the lowest risks based on all the three indices. Evaluation of the relationship between systemic risk and bank characteristics showed that the relationship between non-interest income share, bank size, return on equity, and tangible assets ratio was significant. Assessment of the relationship between the financial risks and financial performance of the banks showed that the relationships of all the financial risk indices, i.e., credit risk index (regulatory capital to credit risk-weighted asset ratio), operating risk index (core capital to operational risk-weighted asset ratio), liquidity risk index (ratio of net sustainable financial resources), market risk index (net interest margin), and systemic risk index with the EVAs of the banks were significant. Conclusion and discussion By examining the tail risks of the banks, it could be concluded that one of the reasons for the significant increase in the IR index in 2016-2017 was the US withdrawal from JCPOA and increasing political tensions and economic sanctions according to the study of the virtual variable of sanctions. Also, due to the changes in the regulators’ policies during 2016-2018 and their rejections by some banks, their transactions had been stopped, which had led to the reduction of their systemic linkages. Also, the relationships of bank size with systemic and tail risks were negative and significant and there was a positive and significant relationship between bank size and systemic linkage, which meant that the increase in banks size had led to an increase in interbank relationships and as a result, the systemic linkage had increased. Moreover, the ratio of deposits to assets had a negative and significant relationship with systemic linkage. This meant that attracting resources by the banks had limited their need for financing from other sources, which had resulted in their reductions of systemic linkage. There was a positive and significant relationship between EVA of the banks and their CRWA ratio. This ratio is a measure of the sensitivity of bank resources; as this ratio increases, the use of higher risk resources by banks increases, thus resulting in EVA increase. In this study, there was a negative and significant relationship between ORWAR ratio and EVA of the banks. This meant that the EVA decreased as operational risks increased. Finally, NIM had a negative and significant relationship with the EVA. An increase in this ratio can lead to the bank inability to pay interest on deposits from the interest received on the loans. The main contribution of this study was estimation and decomposition of the systemic risks of the banks listed in Tehran Stock Exchange (TSE) into two components. Second, this study contributed to the research literature by identifying which characteristics of the banks were related to systemic risk and its components. Third, the effects of the risks on the performance of the banks at the levels of individual risk (financial risk) and interaction with other banks (systemic risk) were investigated.

The Effect of the Operating Cash Flows on Abnormal Accruals in the Companies Listed in the Tehran Stock Exchange (with Emphasis on the Industry Type)

Sajad Barandak; Asgar Pakmaram; Saeed Alipour

Volume 7, Issue 3 , May 2019, , Pages 99-12

https://doi.org/10.22108/amf.2019.113447.1322

Abstract

Objectives: It seems there is question mark over the claim “negative consequences of the accruals depend on the operating cash flows”; and therefore, the goal of this research is to determine the effect of operating cash flows on abnormal accruals in the companies listed in the Tehran Stock ... Read More

Asset Management

Investigation the impact of herding behavior of fund managers on their risk taking in Tehran Stock Exchange

Mohammad Dostar; Alireza Mohammadnejad; Maryam Javadian Langeroodi

Volume 5, Issue 2 , July 2017, , Pages 129-148

https://doi.org/10.22108/amf.2017.21577

Abstract

Today, herding behavior is one of the important behaviors among investment corporation, fund managers and investors which can play an important role in taking risk and return of stocks and portfolio. The purpose of this research is investigating the impact of herding behavior on the risk taking of fund ... Read More

Financing

Solutions for Financial Restructuring in Iranian Banks

Mohammad Sadegh Abdollahi Poor; Mohammad Hashem Botshekan

Volume 8, Issue 4 , October 2021, , Pages 1-20

https://doi.org/10.22108/amf.2020.119436.1473

Abstract

Objective: Most of the problems of banks can be attributed to mismatching in the balance sheet, revenue-expense gap, and unbalanced cash flow. The main aim of this research is to investigate executive solutions allowing for solving these problems through financial restructuring in Iranian banks. Method: ... Read More

Asset Management

Implementation of Organizational Risk Management; Identification, Analysis, and Evaluation (Case Study: Active Financial Institution in Iranian Capital Market)

Abolhassan Jalilvand; Mojtaba Rostami Noroozabad; Ehsan Askari Firoozjaei; Milad Rahmaniani

Volume 7, Issue 2 , May 2019, , Pages 1-24

https://doi.org/10.22108/amf.2018.110464.1242

Abstract

Objectives: Recently, the area of Enterprise Risk Management (ERM) has received considerable attention both from the academic and professional communities. The empirical evidence seems to support the enabling role of the ERM in improving firms’ operating and financial performance, focusing on metrics ... Read More

Asset Management

Factors Affecting Stock Return of Firms Listed in Tehran Stock Exchange: Meta-analysis Approach

Bagher Asgarnezhad Nouri

Volume 6, Issue 1 , May 2018, , Pages 29-50

https://doi.org/10.22108/amf.2017.21193

Abstract

The purpose of this study is to investigate the factors influencing firms 'stock return using meta-analysis approach. The study population consists of studies that had examined factors affecting stock returns of listed firms in Tehran Stock Exchange. Accordingly, a total of 89 different research are ... Read More

Research Paper Asset Management

Applying the Meta-Synthesis Method in Banking Operational Risk Management Methodology

Hamed Naderi; Mohammad Ali Rastegar Sorkhe

Articles in Press, Accepted Manuscript, Available Online from 16 March 2023

https://doi.org/10.22108/amf.2023.135765.1767

Abstract

The purpose of the research: In recent years, after the economic crises that occurred, the value of operational risk assessment was seen in the financial industry, the greatest impact of operational risk was on the banking industry. As a result, after the financial crisis, more attention was paid to ... Read More

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Research Paper Asset Management

Designing an interpretive structural model for identifying and prioritizing financial strategic risks in the petrochemical industry of the Islamic Republic of Iran

Mohammad Mobin Shafie Nategh; Mohammad Amin Rashidi; Mohammad Tohidi

Articles in Press, Accepted Manuscript, Available Online from 16 March 2023

https://doi.org/10.22108/amf.2023.135670.1765

Abstract

Environmental uncertainty and fierce competition in global markets have made petrochemical companies and complexes face many challenges and strategic risks. Strategic risks are risks that can unbalance the strategic system and have a significant negative impact on the industry. The purpose of this research ... Read More

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Research Paper Asset Management

The relationship between credit rating and stock returns with an emphasis on the role of investors' emotions

Mohammad Mahdi Bagheri; Roohollah Seddighi

Articles in Press, Accepted Manuscript, Available Online from 26 April 2023

https://doi.org/10.22108/amf.2023.136083.1771

Abstract

It is generally believed that stocks with high risk bring more returns. However, this notion is empirically incorrect and the reason for such contradictions can be the emotions of investors. The purpose of this study was to examine the relationship between investors' sentiments, business credit ... Read More

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Research Paper Asset Management

An investigation of price limit change effect on intraday volatility of Iran stock market with Realized Variance and District Fourier Transform

Mohammad Hasannezhad; Maryam Davallou; Farid Shabani

Articles in Press, Accepted Manuscript, Available Online from 16 May 2023

https://doi.org/10.22108/amf.2023.134778.1755

Abstract

In this paper the effect of a change in price limit on Iran’s stock market on its volatility was studied by applying two methods to the matter. One is by the examination of Realized Variance (RV) before and after the price change is applied. In another approach District Fourier Transform (DFT) ... Read More

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Research Paper Financing

Analyzing the sensitivity of the bankruptcy index to financial indices in different stages of the company's life cycle

Seyed Rasoul Hossaini; amin Hajiannejad; hamidreza Ganji

Articles in Press, Accepted Manuscript, Available Online from 16 May 2023

https://doi.org/10.22108/amf.2023.134999.1756

Abstract

Purpose: In this research, the analysis of the sensitivity of the bankruptcy index to financial variables during the firm life cycle has been investigated using Monte Carlo simulation. Method: In order to measure bankruptcy risk, Altman's modified bankruptcy model was used. In order to simulate ... Read More

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Research Paper Financing

The relationship between financing restrictions and financing strategies: An emphasis on the role of corporate governance

Mandana Taheri

Articles in Press, Accepted Manuscript, Available Online from 16 May 2023

https://doi.org/10.22108/amf.2023.135738.1769

Abstract

The purpose of this study is to investigate whether the increase in financing restrictions of companies has an effect on their financing strategies?In the regard the strategies of company managers for financing in the form of their desire to finance internally instead of externally and through transactions ... Read More

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Journal of Asset Management and Financing

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Volume 11 (2023)

Volume 10 (2022)

Volume 9 (2021)

Volume 8 (2020)

Volume 7 (2019)

Volume 6 (2018)

Volume 5 (2017)

Volume 4 (2016)

Volume 3 (2015)

Volume 2 (2014)

Volume 1 (2013)

Decomposition of Systemic Risk and Analysis of the Relationships of Its Dimensions with the Characteristics and Financial Performance of the Banks Listed in Tehran Stock Exchange (TSE)

Abstract

The Effect of the Operating Cash Flows on Abnormal Accruals in the Companies Listed in the Tehran Stock Exchange (with Emphasis on the Industry Type)

Abstract

Investigation the impact of herding behavior of fund managers on their risk taking in Tehran Stock Exchange

Abstract

Solutions for Financial Restructuring in Iranian Banks

Abstract

Implementation of Organizational Risk Management; Identification, Analysis, and Evaluation (Case Study: Active Financial Institution in Iranian Capital Market)

Abstract

Factors Affecting Stock Return of Firms Listed in Tehran Stock Exchange: Meta-analysis Approach

Abstract

Applying the Meta-Synthesis Method in Banking Operational Risk Management Methodology

Abstract

Designing an interpretive structural model for identifying and prioritizing financial strategic risks in the petrochemical industry of the Islamic Republic of Iran

Abstract

The relationship between credit rating and stock returns with an emphasis on the role of investors' emotions

Abstract

An investigation of price limit change effect on intraday volatility of Iran stock market with Realized Variance and District Fourier Transform

Abstract

Analyzing the sensitivity of the bankruptcy index to financial indices in different stages of the company's life cycle

Abstract

The relationship between financing restrictions and financing strategies: An emphasis on the role of corporate governance

Abstract

Indexing and Abstracting

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