بررسی سرایت‌پذیری ریسک نکول بین شرکت‌های هلدینگ و شرکت‌های فرعی آنها (مورد مطالعه: شرکت گسترش سرمایه‌گذاری ایران خودرو)

نوع مقاله : علمی - پژوهشی

نویسندگان

1 استادیار، گروه مالی و بانکداری، دانشگاه علامه‌طباطبائی، تهران، ایران

2 دانشجوی دکتری مدیریت مالی، دانشگاه علامه طباطبائی، تهران، ایران

چکیده

بررسی سرایت‌پذیری ریسک نکول در میان نهادهای مالی و ارتباط آنها با یکدیگر،‌ از اهمیت زیادی در انتخاب سبد سهام، مدیریت ریسک و رتبه اعتباری نهادها برخوردار است.‌ هدف این پژوهش، بررسی اثر سرایت­پذیری احتمال نکول بین شرکت­های هلدینگ و شرکت‌های فرعی آنها در بازار سرمایه کشور می‌باشد. برای این منظور در مرحله اول، احتمال نکول با استفاده از مدل قیمت‌گذاری اختیار معامله بلک-شولز-مرتون (BSM) برای هلدینگ گسترش سرمایه­گذاری ایران خودرو و سه شرکت فرعی آن محاسبه و سپس سرایت‌پذیری احتمال نکول با استفاده از مدل­های گارچ چندمتغیره (مدل BEKK) به صورت روزانه برای دوره زمانی 1390 الی 1397 مورد بررسی قرار گرفت. نتایج این پژوهش نشان داد که سرایت‌پذیری ریسک نکول از شرکت هلدینگ به شرکت‌های فرعی آن و همچنین از شرکت‌های فرعی به شرکت هلدینگ وجود دارد.

کلیدواژه‌ها

عنوان مقاله [English]

The Spillover Effects of Default Risk between Holding Companies and Their Subsidiaries (Case Study: Iran Khodro Investment Development Co.)

نویسندگان [English]

  • Mohammad Hassan Ebrahimi Sarv Oliya 1
  • Hossein Tamalloki 2
1 Assistant Prof, Department of Finance and Banking, Allameh Tabataba'i University, Tehran, Iran.
2 PhD.Candidate in Financial Management, Allameh Tabataba'i University, Tehran, Iran.
چکیده [English]

Study of spillover effects of default risk plays a very significant role in financial institutions, their relation & interaction with each other and in portfolio selection, risk management and the credit rating of such institutions as well.This research aims to study the spillover effects of default risk between holding Companies and their subsidiaries active in Iran’s capital market. For such a purpose, in the first phase, default probability was calculated for Iran Khodro Investment Development Co. and its three subsidiaries by Black-Scholes-Merton (BSM) option pricing model, then default probability spillover for the period of 2011-2018 was measured on daily basis by multivariate GARCH model (BEKK model).As concluded, there is a spillover effect of default risk from the holding companies to their subsidiaries and vice versa. 

کلیدواژه‌ها [English]

  • Spillover Effects
  • Default Risk
  • Holding Companies
  • Multivariates GARCH Model

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