Systemic risk of the Greek financial institutions: application of the SRISK model

Abdelkader Derbali, Slaheddine Hallara and Aida Sy

African Journal of Accounting, Auditing and Finance, 2015, vol. 4, issue 1, 7-28

Abstract: This paper proposes a conditional approach to estimate the systemic risk which allows decomposing the risk of the aggregate financial system of Greece (measured by Expected Shortfall). We use the SRISK index to measure the systemic risk contribution of a financial firm. SRISK represents a function of the firm's financial size, its degree of leverage and its expected equity loss conditional on a market downturn. We employ the SRISK to examine the systemic risk of top Greek financial institutions between June 2007 and December 2014 which corresponds to the period of the financial crisis of 2007. The results show that after the crisis of 2007, the SRISK reached its maximum during 2012 and 2013. Then, we find that the Bank of Greece, the National Bank, Piraeus Bank, the Eurobank Ergasias and the Alpha Bank present the top of systemic risk in Greece. In addition, we remark that the change of SRISK, DEBT, EQUITY and RISK of Greek banks is very important which explains the higher degree of instability and recession of the financial system of Greece.

Keywords: systemic risk measurement; marginal expected shortfall; MES; SRISK; Greece; financial institutions; financial crisis; banking industry; Greek banks; financial instability; financial recession. (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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Working Paper: Systemic risk of the Greek financial institutions: application of the SRISK model (2015)
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