systemic risk

Mutual funds are one of the most paramount investment mechanisms in financial markets. By playing a financial intermediary role, they give nonprofessionals access to professionally managed portfolios of securities and provide numerous benefits for both the capital market and investors simultaneously. This study evaluated and investigated the systemic risk of mutual funds in the Iran capital market by adopting a Conditional Value at Risk (CoVaR) approach and employing quantile regression. In the finance literature, systemic risk is the probability of a downfall in the financial system when a segment or an individual component gets in distress. This risk can trigger instability or shock in financial markets and the real part of the economy. The results revealed that stock (equity) mutual funds were systemically more important than other funds, including fixed-income and balanced mutual funds, due to the high volatility in their return, which makes them riskier. To compare systemic risk and market risk among mutual funds, funds classified into five different groups based on their systemic risk. According to this categorization, analysis of variance illuminated that the market risk of mutual funds had a direct relationship with their systemic risk, such that a higher systemic risk of a fund stood for higher market risk.

The mutual relationship between monetary and fiscal policies and value at risk is one of the most important topics in the financial economics literature and accounts for the vast majority of empirical studies. Therefore, the main objective of this paper is to investigate the effects of monetary and fiscal policies on conditional value at risk in the financial sectors of the stock exchange, bank and insurance during the years 1995-2017. For this purpose, by quantile regression method and in the form of Adrian and Brunnermeier approach, the conditional value at risk of these three financial sectors is estimated and then by using the seemingly unrelated regression equation approach in panel data evaluated the effect of liquidity money variables. The interest rate on facility payments, the real exchange rate, the government's budget deficit, real GDP growth, and the degree of economic openness are subject to conditional risk. The results of the model estimation indicate the significance of the effect of liquidity money, interest rate on facility payments and real exchange rate variables on conditional value at risk in each of three relevant equations, and real GDP growth variable in the model, Exposure to the conditional value at risk of the insurance sector has a negative and significant effect. Also, the degree of openness of the economy in any of the three estimated equations has no significant effect on the conditional value at risk. 

Systemic risk is a type of financial instability that disrupts the functioning of the financial system and affects economic growth. The present study was developed with the aim of presenting a systemic risk warning model based on the entropy criterion in the financial markets of Iran. In terms of direction, the present research is of applied type and in terms of explanatory purpose, and the data collection method is library method. The statistical population of the country's financial markets research includes the capital market, money market, etc., and the time frame of this research is the data related to variables affecting systemic risk in the years 1998 to 2022. In this research, firstly, the identified criteria and indicators affecting systemic risk were ranked using Shannon entropy, Rennie entropy, and Tsallis entropy, and then systemic risk was measured with the MES criterion. The results of this research show that the most systemic risk is caused by the variable of banks' debt to the central bank, and the two variables of government debt and the ratio of government debt to GDP also have the highest systemic risk. According to the general theory of systems and the effectiveness and influence of financial markets on each other, the government and policy makers of the economic and financial sectors must take the necessary measures in order to create a systemic supervisory institution.