Abstract
This paper focused on measuring the systemic risks in Turkey’s banking sector by using two major measures that have been proposed in the literature as conditional value at risk (CoVaR) and marginal expected shortfall (MES). In order to compute the contribution of banking sector to systemic risks, the MES and ΔCoVaR measures are estimated for the six Turkish banks, which are listed, on the Borsa Istanbul (BIST) during 2000–2016 period by using Engle’s dynamic conditional correlation model. The preliminary results of this study show that although the measures provide different rankings for the systemic risk contributions, they turn out to be qualitatively very similar in explaining the cross-sectional differences in systemic risk contributions. Secondly, both systemic risk measures (MES and ΔCoVaR) are analyzed to determine the relationships between some variables associated with bank characteristics (e.g., VaR, size and leverage ratio) and banks' systemic risk contributions, via simple panel data regression methods.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
