Evaluation of systemic risk behavior in the banking and insurance industry of the country

Document Type : Scientific-research

Authors

1 استادیار دانشکده علوم اقتصادی و اداری دانشگاه قم

2 استاد دانشکده اقتصاد دانشگاه تهران

10.30465/ce.2024.43897.1843

Abstract

The aim of this study was to estimate the threshold limit of systemic risk in the country's banking system and insurance industry in the period of 2000-2019. In this regard, in order to estimate the systemic risk, the conditional value at risk method of protection and expected loss was used. Also, in order to estimate the effects of the systemic risk threshold limit, soft threshold transition regression was used. The obtained results indicated that the systemic risk in the insurance sector is much higher than the banking sector, which is due to the high financial obligations paid compared to the insurance premiums received. In addition, it was observed that in the systemic risk section, there is a type of nonlinear process and a threshold limit in systemic risk, which leads to different behavior of this variable in different economic and financial conditions. Based on this, it can be said that sometimes the financial crisis is very wide and deep. In these cases, the support and guarantee of the government can create a lot of debt for the government. In such a case, the financial crisis can turn into a debt crisis.

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History

  • Receive Date: 16 December 2022
  • Revise Date: 22 May 2023
  • Accept Date: 02 June 2023

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