A Model for Predicting Financial Contagion due to Overlapping Portfolios Risk shocked by Industrial Groups listed in Tehran Exchange
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

A Model for Predicting Financial Contagion due to Overlapping Portfolios Risk shocked by Industrial Groups listed in Tehran Exchange

Document Type : Original Article

Author
Alireza Rayati Shavazi
Financial management Group. Yazd Branch, Islamic Azad University. Yazd. Iran.
10.22034/jse.2023.12251.2152
Abstract
One of channels that generates financial contagion is the risk of maintaining shared assets, in other words, an overlapping portfolio risk. This risk can lead to a great loss in an investment institution, capital market, even an economy system may fall into a crisis, so the following main goal of this survey is Presenting a model for measuring financial contagion using the risk of overlapping portfolios Risk shocked by Industrial Groups listed in Tehran Exchange. This survey is an analytical type using multivariate analytical Discriminant statically method. In order to investigate the goal, based on the data related to the stock portfolio of investment institutions in the Tehran Stock Exchange presented multivariate Discriminant model based on shock in the industrial group. The results indicate that "Amount invested in the industrial group" and "The number of financial institutions that have invested in each industrial group" have been proved as independent variables. Supervision departments can use the models presented in this study to identify industrial groups that have a high risk of overlapping portfolios and maintain the stability of the financial system by taking appropriate decisions.
Keywords
Financial Contagion
Overlapping Portfolio Risk
Risk Predicting
Discriminant Analysis
shock in industrial group
Subjects
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Quarterly Journal of Securities Exchange
Volume 17, Issue 66
Summer 2024
Pages 99-114