تجزیه ریسک سیستمی و بررسی رابطه ابعاد آن با ویژگی‌ها و عملکرد مالی بانکهای پذیرفته شده در بورس اوراق بهادار تهران مقالة

مدیریت دارایی و تامین مالی بهار 1402 - شماره 40 ، ب (Ministry of Science/ISC (‎26 صفحة - من 5 إلی 30 )

الکلمات المفتاحية: ریسک سیستمی ریسک دنباله پیوند سیستمی ارزش‌افزودۀ اقتصادی Systemic Linkage Extreme Value Theory Systemic Risk Tail Risk

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اهداف: در این پژوهش به اندازه‌گیری و تجزیۀ شاخص ریسک سیستمی ( ) با استفاده از نظریۀ ارزش فرین در بانک‌های پذیرفته‌شده در بورس اوراق بهادار تهران (1392-1400) توجه شده است. این شاخص به دو بعد: ریسک کلی بانک (ریسک دنباله) و ارتباط بانک با سیستم در شرایط بحران مالی (پیوند سیستمی) تجزیه شده است.روش: با استفاده از رگرسیون اتورگرسیو با وقفۀ توزیعی، رابطۀ بین ریسک سیستمی و ابعاد آن با ویژگی‌های بانک‌ها و رابطۀ بین ارزش‌افزودۀ اقتصادی بانک‌ها و ریسک‌های مختلف مالی ازجمله ریسک سیستمی محاسبه‌شده، بررسی شده است.نتایج: مطابق نتایج پژوهش، بانک‌های پست‌بانک، تجارت و صادرات به‌ترتیب بیشترین و بانک‌های کارآفرین و اقتصاد‌نوین کمترین مقدار ریسک سیستمی را دارد. نتایج پژوهش نشان‌دهندۀ آن است که با افزایش اندازۀ بانک، ریسک سیستمی و ریسک دنبالۀ آن که مختص هر بانک است، کاهش و شاخص پیوند سیستمی افزایش می‌یابد. بین ارزش‌افزودۀ اقتصادی بانک‌ها، نسبت سرمایۀ نظارتی به دارایی موزون‌شده به ریسک اعتباری و شاخص ریسک سیستمی رابطۀ مثبت و معنادار و بین ارزش‌افزودۀ اقتصادی بانک‌ها و متغیرهای نسبت سرمایۀ پایه به دارایی موزون‌شده به ریسک عملیاتی، خالص منابع پایدار و ریسک نرخ بهره رابطۀ منفی و معنادار وجود دارد.

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.

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