Systemic Risk Contribution of Individual Banks

Huseyin Cagri Akkoyun, Ramazan Karasahin and Gursu Keles

Central Bank Review, 2013, vol. 13, issue Special Issue on Systemic Risk, 5-23

Abstract: In this study, we measure systemic importance of individual banks that are listed in the Istanbul Stock Exchange. Regarding the whole system as a portfolio of individual banks, we calculate the system-wide risk via contingent claims analysis. Using Shapley values, we assess the systemic importance of each bank according to its marginal contribution to the calculated system wide risk measure, expected shortfall of the system. Our calculations reveal that market participants perceived 2000 and 2001 banking crises to be devastating for the Turkish banking sector. Since 2002, the banking sector seems to do a good job in eliminating idiosyncratic shocks within the system.

Keywords: Systemic risk; Contingent claims analysis; Shapley value (search for similar items in EconPapers)
JEL-codes: E02 N10 O11 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:tcb:cebare:v:13:y:2013:i:specialissue:p:5-23

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