تحليل ريسك سيستمي، ويژگي‌هاي موثر بر ريسك سيستمي و تاثير ريسك سيستمي بر نرخ بازده مورد انتظار در شركت‌هاي پذيرفته شده در بورس اوراق بهادار تهران

Analysis of systemic risk, Characteristics affecting systemic risk an‎d Impact of systemic risk on the expected rate of return in the listed companies Tehran Stock Exchange.

حسابداري

Systemic risk with contagion between different parts of the market causes crisis in the economy; therefore, it is necessary to recognize, measure an‎d combat systemic risk. Since financial institutions have extensive connections with all institutions an‎d can transfer an‎d spread risk, most of the researches conducted in the systemic risk field have been devoted to the financial sector. On the other han‎d, non-financial corporations (NFCs) are also connected to each other an‎d to the financial sector, as a result, NFCs have potentially systemically important. Therefore, the systemic importance of NFCs must be addressed comprehensively. Additionally, in order to identify non-financial systemically important corporations, make economic decisions, an‎d formulate appropriate rules, it is essential to identify the drivers of systemic risk in NFCs. Furthermore, this research addresses the role of systemic risk in risk management at both the individual stock level an‎d the portfolio level, in order to improve an‎d promote risk management from the perspective of systemic risk. Therefore, according to the above, the General aim of this study is to eva‎luate the systemic importance of the non-financial sector, identify the systemic risk drivers of non-financial corporations, an‎d explain the role of systematic risk in risk management. In order to achieve the research objectives, research questions were formulated an‎d to address research questions, two systemic risk measures including Marginal expected Shortfall (MES) an‎d Delta Conditinal Value at Risk (∆CoVaR) were measured an‎d Analyses were performed at the firm an‎d industry levels; For this purpose, 284 financial an‎d non-financial corporations, in addition to financial industry an‎d non-financial industries, an‎d 3 portfolio groups were examined in the period of 2008-2022. The systemic importance of non-financial corporations an‎d industries was determined by comparing the median of systemic risk measures between non-financial corporations an‎d financial corporations, as well as non-financial industries an‎d financial industry. Also, by ranking, the most important an‎d least important corporations an‎d industries were determined from systemic perspectives. Additionally, a method known as ʹran‎dom effects within betweenʹ regression was employed to understan‎d firm-level characteristics associated with systemic risk measures in NFCs. In addition, the effect of MES on expected stock returns at the individual stock level was investigated using the Fama-Macbeth regression method. Finally, in order to assess the impact of systemic risk on portfolio risk, the median of Downside risk measures was compared between portfolio groups. The findings of the research confirmed the systemic importance of non-financial corporations an‎d non-financial industries. In addition, firm-level characteristics related to systemic risk measures were recognized. Moreover, the MES criterion has a negative an‎d significant effect on expected stock return at the individual stock level. Furthermore, the systemic importance of corporations an‎d the weight assigned to systemically important corporations significantly affect the Downside risk criteria of the investment portfolio.

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