Systemic risk, contagion and risk factors in the Tunisian banking system context: measures and determinants

Mohamed Amin Chakroun and Mohamed Imen Gallali

Afro-Asian Journal of Finance and Accounting, 2024, vol. 14, issue 2, 246-280

Abstract: This research paper investigated the systemic risk in the Tunisian bank sector. The researchers paid a special attention to the variable accountings and macroeconomics in the explanation of the systemic risk. The results pointed out that the three first banks with an important systemic ranking are public banks (STB, BNA, and BH). The empirical validations revealed the presence of a positive dependence connection between the public and private banks and that the generation probability of a systemic situation is getting more important during the distress periods. The results of the determinants analysis explored that the liquidity risk, the credit risk and the financial institution's inefficient level represent the main trigger factors of a systemic risk, along with an expansionist monetary policy that may lead to an accumulation of a systemic risk.

Keywords: contagion; systemic risk; copula; marginal expected shortfall; MES; DCC-GARCH. (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:ids:afasfa:v:14:y:2024:i:2:p:246-280

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