Banks’ systemic risk in the Tunisian context: Measures and Determinants

Wided Khiari and Jamila Nachnouchi

Research in International Business and Finance, 2018, vol. 45, issue C, 620-631

Abstract: This paper proposes a systemic Risk cartography for Tunisian banks in order to shed the light on the key drivers of the Tunisian banks’ involvement in systemic risk. The aim of this analysis is to better understand the determining factors of the systemic risk levels. We intend to find the most influential vital few variables that are impacting the degree of systemic risk implications. In this perspective, we will develop a proper statistical framework based on a muli-level approach in order to explore, assess and explain the systemic risk incurred by the Tunisian banks. As a first step, we will provide a systemic risk cartography for the Tunisian banks using, and for the first time, a unified approach that combines CoES and Multi Dimensional Scaling (MDS) techniques. The recovered map revealed that public banks are taking the lead as the most involved banks in the systemic risk, followed closely by the two most important private banks BIAT and UBCI. As a second step, we will indicate how the use of a Systemic Risk Implication Composite Index (SRICI) provides the key drivers analysis of banks in systemic risk implication and shows that the implication of the Tunisian banks is highly dependent on the size of the financial institution, its liquidity, its technical efficiency, and its direct exposure to the interbank lending market.

Keywords: Systemic risk; Cartography; Value at risk; Expected shortfall; CoVaR; CoES; MDS; PLS regression; Systemic risk implication composite index (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:45:y:2018:i:c:p:620-631

DOI: 10.1016/j.ribaf.2017.07.181

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