امیر باقری

In this research, the relationship between the diversification of banking resources and expenses and systemic risk was investigated, which is descriptive-correlational, post-event, and It is based on the purpose of the practical type. Two special objectives were followed: "investigating the effect of bank portfolio diversification on systemic risk" and "investigating the effect of portfolio diversification and bank size on systemic risk". Systemic risk is the risk of a chain reaction of bankruptcies. Diversification is a technique for allocating a portfolio's resources or capital to a combination of different investments.

The statistical population of this research included all the banks admitted to the stock exchange and over-the-counter, and the time period of this research was between ۲۰۱۱ and ۲۰۲۱, and the banks whose financial statements were available during this time period were selected as samples.The required information was obtained through the Kodal website, articles, books, theses, and MATLAB ۲۰۲۱, Stata ۱۵ and Eviuse ۱۲ software were used for data analysis.

At first, using Box Jenkins approaches and univariate and multivariate conditional variance models, she calculated the value at risk using quantile panels. And after calculating the systematic risk in three ways based on the panel data approach, the effect of factors affecting the systematic risk was estimated with emphasis on diversification indicators. Based on the tests conducted by Lemer and Hausman, it was determined that the fixed effects method is a more suitable model and the estimation of the model shows the significance of all the estimated coefficients except the ratio of cash and belongings related to those banks to total deposits at a significant level of ۵%. . The results of the F test show the significance of the entire fitted regression. The coefficient of determination statistic shows the explanatory power of ۶۲ and ۶۵ percent of the estimated models. The obtained results indicate that diversification leads to a reduction in systemic risk in the country's banking system. In addition, the variables of loan loss reserve ratio, ratio of total equity to total assets and margin ratio before tax have negative effects on systemic risk. But variables such as the ratio of total loans to total assets, the ratio of operating expenses to operating income, the ratio of short-term borrowings to total assets and bank profit management lead to an increase in systemic risk in the banking system.