Systemic Risk: A Comparative Study between Public and Private Banks

Aymen Mselmi and Imen Mahmoud
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Aymen Mselmi: College of Business Al Kamil, University of Jeddah, Saudi Arabia; & Higher Institute of Business Administration of Gafsa (ISAEG), University of Gafsa, Tunisia,
Imen Mahmoud: Laboratory of Research in Innovative Management Risk, Accounting and Finance (LARIMRAF) University of Manouba, Tunisia.

International Journal of Economics and Financial Issues, 2023, vol. 13, issue 3, 117-125

Abstract: This paper aims to study the capital insufficiency in various Tunisian banks which are on the list of the Tunisian stock exchange market. Basing our work on the various measures of systemic risk, we have modeled the shortfall capital of the Tunisian banking sector in order to compare private banks and public ones in terms of exposure to systemic risk. We have also studied the effect of stock market shocks on the banks' marginal expected shortfall. The results obtained show that the systemic risk for the period 2006 and 2013 is mainly conveyed by the three public banks.

Keywords: Systemic Risk; Marginal Expected Shortfall; Public Bank; Private Bank (search for similar items in EconPapers)
JEL-codes: G21 G30 G32 G33 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2023-03-12

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