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Systemic risk of the Greek financial institutions: application of the SRISK model

Author

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  • Abdelkader Derbali
  • Slaheddine Hallara
  • Aida Sy

Abstract

This paper proposes a conditional approach to estimate the systemic risk which allows decomposing the risk of the aggregate financial system of Greece (measured by Expected Shortfall). We use the SRISK index to measure the systemic risk contribution of a financial firm. SRISK represents a function of the firm's financial size, its degree of leverage and its expected equity loss conditional on a market downturn. We employ the SRISK to examine the systemic risk of top Greek financial institutions between June 2007 and December 2014 which corresponds to the period of the financial crisis of 2007. The results show that after the crisis of 2007, the SRISK reached its maximum during 2012 and 2013. Then, we find that the Bank of Greece, the National Bank, Piraeus Bank, the Eurobank Ergasias and the Alpha Bank present the top of systemic risk in Greece. In addition, we remark that the change of SRISK, DEBT, EQUITY and RISK of Greek banks is very important which explains the higher degree of instability and recession of the financial system of Greece.

Suggested Citation

  • Abdelkader Derbali & Slaheddine Hallara & Aida Sy, 2015. "Systemic risk of the Greek financial institutions: application of the SRISK model," African Journal of Accounting, Auditing and Finance, Inderscience Enterprises Ltd, vol. 4(1), pages 7-28.
    • Handle: RePEc:ids:ajaafi:v:4:y:2015:i:1:p:7-28
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    Cited by:

    1. Abdelkader Derbali & Slaheddine Hallara, 2016. "Measuring systemic risk of Greek banks: New approach by using the epidemic model “SEIR”," Cogent Business & Management, Taylor & Francis Journals, vol. 3(1), pages 1153864-115, December.
    2. Abdelkader DERBALI & Ali LAMOUCHI, 2020. "RETRACTED ARTICLE: The triple (T3) dimension of systemic risk: identifying systemically important banks in Eurozone Abstract: Editor’s Note - This paper has been retracted from our journal due to bogu," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 11, pages 87-122, June.
    3. Yang, Xin & Wen, Shigang & Zhao, Xian & Huang, Chuangxia, 2020. "Systemic importance of financial institutions: A complex network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    4. Derbali, Abdelkader & Hallara, Slaheddine, 2016. "Systemic risk of European financial institutions: Estimation and ranking by the Marginal Expected Shortfall," Research in International Business and Finance, Elsevier, vol. 37(C), pages 113-134.

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