Document Type : Research Paper

Authors

1 Student in Department of Management and Accounting, Allameh Tabataba'i University, Tehran, Iran

2 Department of Management and Accounting, Allameh Tabataba'i University, Tehran, Iran

3 Department of Management and Accounting, Allameh Tabataba'i University, Tehran, Iran

Abstract

The financial contagion and the risk of overlapping portfolios arise from the interconnected relationships and interconnections between investment institutions and markets and can threaten the stability of the entire financial network. At first after presenting the model briefly, The comparison of the probability of contagion and the probability of the extent of contagion of two points at the end of the years 1394 and 1395 proves the reliability of the model; Nevertheless, due to the nature of the research in order to validating the model in the second part of the study, Monte Carlo simulation method has been used by statistical distribution of actual data. To do so, we first tried to diagnose and test the goodness of the distribution used in the variable of average degree of diversification and finally, the generalized Poisson-Lindley distribution was most closely related to actual data. Then in order to measure the stability of the financial contagion based on overlapping portfolio risk model using simulation of virtual data, we analyzed simulation thresholds in this study including different variables of diversification average degree of financial institutions, leverage, market impact, crowding and type of shocks. At the end of the study, the stability analysis of financial contagion based on overlapping portfolio risk model was presented based on the actual data simulation by examining the market impact parameter. Results refer to the fact that the capital market of Iran possess low probability for financial contagion based on overlapping portfolio risk.
Jel Classification: C46, C63, G11, G17, G23

Keywords

آذر، عادل و رضائی پندری، عباس) 1395 (. پژوهش در عملیات پیشرفته؛ مدل سازی و
روش های حل، انتشارات نگاه دانش، تهران.
بولو، قاسم و صاحبقرانی، امیر عباس و جعفری، سیده محبوبه ) 1396 " .) الگوی مفهومی
رتبه بندی اوراق به پشتوانه دارایی در بازار سرمایه ایران"، فصلنامه مطالعات تجربی
حسابداری مالی، دوره 15 ، شماره 60 ، صص 61 - 76 .
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سهام"، فصلنامه مطالعات تجربی حسابداری مالی، دوره 2 ، شماره 5 ، صص 87 - 120 .
دستخوان، حسین و شمس مقاره. ) 1396 (. "مقایسه شاخص های ارزیابی ریسک سیستمی
در شبکه های مالی: شناسایی شرکت های مهم از نظر سیستمی در بازار بورس تهران"،
مدلسازی ریسک و مهندسی مالی، دوره 2 ، شماره، صص 1 - 21 .
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دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبائی.
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