Abstract
Our paper aims to study the exposure of Moroccan conventional banks to systemic risk. We use three measures widely used in the empirical literature: the conditional value at risk (CoVaR) developed by (Tobias and Brunnermeier, 2016), the Marginal Expected Shortfall (MES), developed by (Acharya and al., 2012), and the Systemic Risk Index (SRISK) proposed by (Brownlees and Engle, 2012). For this purpose, we rely on a database of Moroccan conventional banks, including data on stock market returns and specific variables for the period 2005-2017. We measure the contribution to systemic risk of each bank, in order to compare its presence and the degree of exposure to systemic risk of Moroccan banks. Our empirical findings indicate that BMCE and AWB represent the two Moroccan banks that contributed the most to systemic risk during the three periods of our study: pre-crisis, crisis, and post-crisis, due to their high level of capital loss. Moreover, banks with a high level of capital inadequacy contribute more to systemic risk. Similarly, as the level of capitalisation increases, banks become less susceptible to systemic risk.
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