Expanding the Network Process of Assessing Financial Stability and Risk in Capital Market based on MES and CoVaR
Subject Areas : Financial Knowledge of Securities AnalysisZahra Jafari 1 , Rahim Bonabi Ghadim 2 , Rasoul Abdi 3
1 - PhD student, Department of Financial Engineering, Maragheh Branch, Islamic Azad University, Maragheh, Iran
2 - Assistant Professor, Department of Accounting, Hashtroud Branch, Islamic Azad University, Hashtroud, Iran(Corresponding Author).
3 - Associate Professor of Accounting Department, Bonab Branch, Islamic Azad University, Bonab, Iran
Keywords: Financial Stability and Risk, Capital Adequacy Ratio, Financial Crises,
Abstract :
The aim of this study is to expand the network process of assessing the financial stability and risk of capital market companies based on MES and CoVaR scales, which is calculated through the coefficients of the multi-layer network model of the total capital market index. In this study, the assumption that the financial crisis and the capital adequacy ratio can be estimated as the basis of the risk and financial stability of capital market companies, which can be estimated through the definition of the network process model and the two scales of MES and CoVaR in 2012 to 2022 surveys were conducted. Therefore, the value at risk of the daily return data of the total market index using a GARCH model to estimate "CoVar" first, then in the next step based on quantal regression at two confidence levels of 0.05 and 0.01%, the scale "ΔCoVaR" » be calculated and show whether the total market index indicates higher or lower financial stability risk parameters than the MES scale. The results showed that, on average, the ΔCoVaR scale shows financial stability risk lower than the MES scale. The reason for this is that the higher the share of parameters such as low capital adequacy and financial crises, the higher the probability of financial stability risk increases, and this issue causes companies to face more serious problems in securing financial resources.
