Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall

Irem Talasli

Working Papers from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: This study utilizes Turkish financial institutions stock market returns and balance sheet data through 2000�2001 banking sector crisis and 2007�2009 global financial crisis in order to investigate applicability of systemic expected shortfall (SES) measure introduced by Acharya et al. (2010). SES is assumed to measure contribution of each institution to systems total risk in case of a financial distress. Our regression results indicate that SES model, which includes both marginal expected shortfall and leverage ratios of institutions calculated prior to the crisis period, explains financial sector losses observed crisis periods better than generally accepted risk measures like expected shortfall, stock market beta and annualized stock return volatility estimated with the same data set. Empirical results have proved that SES is a powerful alternative in tracking potential riskiness of the financial stocks.

Keywords: Systemic expected shortfall; marginal expected shortfall; systemic risk (search for similar items in EconPapers)
JEL-codes: C21 C58 G01 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-ara, nep-rmg and nep-upt
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:tcb:wpaper:1311

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