Financial Stability and Macro Prudential Regulation: Policy Implication of Systemic Expected Shortfall Measure
Hatem Salah (ha.salah@fsegt.rnu.tn) and
Marwa Souissi
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Hatem Salah: University of Manouba
No 985, Working Papers from Economic Research Forum
Abstract:
In this paper we highlighted the importance of systemic risk in the new framework of financial regulation. We employed several macro-economic variables and balance sheets indicators, to underline the degree of vulnerability of Tunisian banking sector .We also applied the Systemic Expected Shortfall measurement for the case of Tunisian financial institutions. Empirically, we showed which variable had a powerful alternative in explaining potential riskiness of Tunisian banking sector during the financial crisis of 2011. Our analytical framework presents a recent essay to evaluate systemic importance of Tunisian banks.
Pages: 35
Date: 2016-04, Revised 2016-04
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