The Assessment of Share of Banks, Insurance and Investment Companies in Systemic Risk

The aim of this research is to focus on systemic risk by assessing the extent to which the distress caused by the main different financial sectors including banks, insurance and investment companies can be spread over the risk of financial system. For this purpose, a method of measuring changes in Conditional Value at Risk (CoVaR) based on the financial sectors return is used and its value is estimated using quantile regression. Also, two-sample Kolmogorov-Smirnov test was used to determine the impact of risk imposed by financial institutions to financial system and to achieve a ranking of financial sectors contributing to systemic risk. In this paper, 24 financial institutions listed in Tehran Stock Exchange during the time period of 2011-15 was selected. The results show that all 3 sectors contribute significantly to systemic risk in Iran during this time period and the investment companies have the highest share in creating systemic risk and then the banking and insurance sectors, respectively.