چكيده لاتين
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.
