Acharya, V., Engle, R., & Richardson, M. (2012). Capital shortfall: A new approach to ranking and regulating systemic risks. The American Economic Review, 102(3), 59-64.
Acharya, V., Pedersen, L., Philippe, T., & Richardson, M. (2010). Measuring Systemic Risk. Manuscript. Stern School, New York University.
Adrian, T., Brunnermeier, M. (2011). CoVaR: measuring systematic risk contribution, 3rd Unicredit Conference on Banking and Finance.
Adrian, T., & Brunnermeier, M. K. (2011). CoVaR (No. w17454). National Bureau of Economic Research.
Ahmadi, Z. Farhanian, J. (2014). Measuring comprehensive risk with the CoVaR and MES approaches in the Tehran Stock Exchange. Securities Exchange Quarterly, 7(26), 3-22. (in Persian)
Aikman, D., Alessandri, P., Eklund, B., Gai, P., Kapadia, S., Martin, E., & Willison, M. (2009). Funding liquidity risk in a quantitative model of systemic stability. Working Paper, No. 372.
Azari Qarahlar, A., Rastegar, M. (2016). A study of the effects of the corporate systemic risk on participation in Tehran stock exchange companies. The Proceedings of the World Financial Management Conference. (in Persian)
Betz, F., Hautsch, N., Peltonen, T. A., & Schienle, M. (2016). Systemic risk spillovers in the European banking and sovereign network. Journal of Financial Stability, 25, 206-224.
Billio, M., Getmansky, M., Lo, A. W., & Pelizzon, L. (2012). Econometric measures of connectedness and systemic risk in the finance and insurance sectors. Journal of financial economics, 104(3), 535-559.
Brownlees, C. T., & Engle, R. (2012). Volatility, correlation and tails for systemic risk measurement. Available at SSRN, 1611229.
Castro, C., & Ferrari, S. (2014). Measuring and testing for the systemically important financial institutions. Journal of Empirical Finance, 25, 1-14.
Danesh Jafari, D., Mohammadi, T., Botshekan, M. & Pashazadeh, H. (2017). Investigating the systematic risk of selected banks of the banking system in Iran using the dynamic conditional correlation method. Quarterly Journal of Monetary-Banking Research, 10(33), 457- 480. (in Persian)
Derbali, A., & Hallara, S. (2016). Systemic risk of European financial institutions: Estimation and ranking by the Marginal Expected Shortfall. Research in International Business and Finance, 37, 113-134.
Eivazloo, R., Rameshg, M. (2019). Measuring systemic risk in the financial institution via dynamic conditional correlation and delta conditional value at risk mode and bank rating. Journal of Asset Management and Financing, 7(4), 1-16.
Elsinger, H., Lehar, A., & Summer, M. (2006). Risk assessment for banking systems. Management science, 52(9), 1301-1314.
Girardi, G., & Ergün, A. T. (2013). Systemic risk measurement: Multivariate GARCH estimation of CoVaR. Journal of Banking & Finance, 37(8), 3169-3180.
Gauthier, C., Lehar, A., & Souissi, M. (2012). Macroprudential capital requirements and systemic risk. Journal of Financial Intermediation, 21(4), 594-618.
Hosseini, A. & Razavi, S. (2014). The role of capital in the systemic risk of financial institutions. Experimental Accounting Research, 4(3), 127-147. (in Persian)
Huang, X., Zhou, H., & Zhu, H. (2009). A framework for assessing the systemic risk of major financial institutions. Journal of Banking & Finance, 33(11), 2036-2049.
Karmakar, M., & Paul, S. (2019). Intraday portfolio risk management using VaR and CVaR: A CGARCH-EVT-Copula approach. International Journal of Forecasting, 35(2), 699-709.
Khaki, Gh. (2014). Method of preparing of researches. Tehran: Fojan.
Mirlouhi, S.M., Ebrahimnejad, A., Farahabadi, M. (2018). Currents and returns of investors of mutual mutual funds: Experimental evidence from the investors' market analysis. Tehran Stock Exchange Quarterly, 11(2), 5-28. (in Persian)
Mohammadi, Sh., Raei, R., Feiz abad, A. (2008). Calculation of value at risk of parametric risk using conditional variance heteroscedasticity in Tehran stock exchange. Journal of financial research, 10(25), 109-124. (in Persian)
Moradmand Jalali, S., Hassanloo, Kh. (2016). Assessing the share of banks and insurance and investment companies in systematic risk. Quarterly Journal of Islamic Finance and Banking Studies, 2(3&4), 67-92. (in Persian)
Rastegar, M., Karimi, N. (2016). Systemic Risk in TSE Banking Sector. Journal of risk modeling and financial engineering, 1(1), 1-19. (in Persian)
Roengpitya, R., & Rungcharoenkitkul, P. (2011). Measuring systemic risk and financial linkages in the Thai banking system. Working Papers
, 2010-02, Monetary Policy Group, Bank of Thailand.
Rodríguez-Moreno, M., & Peña, J. I. (2013). Systemic risk measures: The simpler the better? Journal of Banking & Finance, 37(6), 1817-1831.
Sajjad, R. & Taherifar, R. (2016). Estimating the distance and evaluating of value at risk calculated with the Markov model in Tehran stock exchange. Journal of financial research, 18(3), 461-482. (in Persian)
Sajjad, R. & Abtahi, Z. (2017). Risk assessment of the banking group index by estimating return volatility with random fluctuation model: semi- parametric baysian approach. Journal of financial research, 19(1), 81-96. (in Persian)
Segoviano Basurto, M., & Goodhart, C. (2009). Banking stability measures. IMF working papers, 1-54.
Tesarova, V. (2013). Value at Risk: GARCH vs. Stochatistic Volatility Models: Empirical Study. Master Thesis.
Yun, J., & Moon, H. (2014). Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models. Pacific-Basin Finance Journal, 27, 94-114.