Measuring systemic risk in the Moroccan banking system

Yassine El Qalli (), Abdellali Fadlallah () and Khalil Said ()
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Yassine El Qalli: INSEA - Institut National de Statistique et d’Economie Appliquée [Rabat]
Abdellali Fadlallah: INSEA - Institut National de Statistique et d’Economie Appliquée [Rabat]
Khalil Said: INSEA - Institut National de Statistique et d’Economie Appliquée [Rabat]

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Abstract: This article is a contribution to the quantification of systemic risk within a specific banking system composed of listed banks in Morocco. To measure the marginal risk carried by each component, we use indicators recently introduced in El qalli and Said (2013), derived from the Tail Value at Risk and expectiles risk measures. We also analyze the different extreme dependencies present within the system using tail dependence coefficients. The empirical results obtained designate Attijariwafa Bank and Banque Centrale Populaire as the most systemic banks in the Moroccan banking system, posing a risk of triggering systemic crises within it.

Keywords: Systemic risk; Risk measures; Euler Method; Extreme dependence; Copulas (search for similar items in EconPapers)
Date: 2023-08-13
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