Systemic Risk Contribution of Individual Banks

Huseyin Cagri Akkoyun, Ramazan Karasahin and Gursu Keles

Working Papers from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: In this study, we measure systemic importance of individual banks that are listed in the Istanbul Stock Exchange. Regarding the whole system as a portfolio of individual banks, we calculate the system-wide risk via contingent claims analysis. Using Shapley values, we assess the systemicimportance of each bank according to its marginal contribution to the calculated system wide risk measure, expected shortfall of the system. Our calculations reveal that market participants perceived 2000 and 2001 banking crises to be devastating for the Turkish banking sector. Since 2002, the banking sector seems to do a good job in eliminating idiosyn- cratic shocks within the system.

Keywords: Systemic Risk; Contingent Claims Analysis; Shapley Value (search for similar items in EconPapers)
JEL-codes: C71 G10 G13 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-ara, nep-ban and nep-rmg
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN ... g+Paperss/2013/13-18 (application/pdf)

Related works:
Journal Article: Systemic Risk Contribution of Individual Banks (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tcb:wpaper:1318

Access Statistics for this paper

More papers in Working Papers from Research and Monetary Policy Department, Central Bank of the Republic of Turkey Contact information at EDIRC.
Bibliographic data for series maintained by Sermet Pekin () and Ilker Cakar () and ().