Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall
AbstractThis 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.
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Bibliographic InfoPaper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series Working Papers with number 1311.
Date of creation: 2013
Date of revision:
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Systemic expected shortfall; marginal expected shortfall; systemic risk;
Find related papers by JEL classification:
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G01 - Financial Economics - - General - - - Financial Crises
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-16 (All new papers)
- NEP-ARA-2013-03-16 (MENA - Middle East & North Africa)
- NEP-RMG-2013-03-16 (Risk Management)
- NEP-UPT-2013-03-16 (Utility Models & Prospect Theory)
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