systemic risk in the tse’s banking sector

systemic risk is the risk of collapse in the financial system. due to the financial crisis that hit the world economy in 2008, the study of systemic risk in the banking sector became more attractive for researchers. in this research we study systemic risk in the iranian banking sector by using a famous systemic risk measure, the ∆covar. to compute the measure, we employ dynamic conditional correlation model. for this purpose, we estimate the mentioned systemic risk measure of the seven iranian banks from march of 2010 to march of 2015. then using panel data regression, we investigate the relationships between the systemic risk measure and certain bank characteristic variables (i.e. var, size-log of equity, leverage ratio). our empirical analysis shows, first, the systemic risk contributions of banking sector is high and studied banks has different ranking based on ∆covar. lastly, the systemic risk contribution is closely related to mentioned bank characteristic variables.