In this paper, essential methods for examining systemic risk, namely Conditional Value at Risk and Conditional Expected Shortfall, were studied based on Archimedean Copula functions BB1, BB6, BB7, and BB8 and ARMAGARCH time series models with Generalized Error Distribution. Finally, this criterion was calculated for Bank Mellat if Bank Tejarat is in a critical situation. Finally, this criterion was calculated for Bank Mellat, assuming Bank Tejarat is in a crucial situation. To examine the dependence structure between these two returns and to predict Bank Mellat’s future volatility, different Copula functions were used, and GARCH and ARMA-GARCH time series models were employed. The results indicated that the copula BB8 and the time series AR(1) − GARCH(1, 1) provide the best modeling.

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