On identifying the domestic systemically important banks: The case of Tunisia

Bochra Hmissi, Azza Bejaoui and Wafa Snoussi

Research in International Business and Finance, 2017, vol. 42, issue C, 1343-1354

Abstract: In this paper, we attempt to identify the Domestic Systemically Important Banks (D-SIB) in the Tunisian Banking System. Based on the CES measure proposed by Banulescu and Dumitrescu (2014), we compute the systemic risk of the financial institution during the period 01/06/2008-30/06/2015.The results allow us to classify Tunisian banks as systemically important financial institutions in Tunisian banking system. In this regard, Tunisian public banks (STB, BNA and BH) are the riskiest systemically banking sector.

Keywords: Systemic risk; Macroprudential regulation; Tunisian banking system; CES measure; DCC model (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:42:y:2017:i:c:p:1343-1354

DOI: 10.1016/j.ribaf.2017.07.071

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