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Measuring systemic risk of Greek banks: New approach by using the epidemic model “SEIR”

Author

Listed:
  • Abdelkader Derbali

    (Institut Supérieur de Gestion Sousse - Institut Supérieur de Gestion Sousse)

  • Slaheddine Hallara
  • David Mcmillan

Abstract

In the last decade of the financial crisis of 2007, the international financial system appeared to be on the brink of a major systemic crisis which leads to a failure of a systemically important European bank. This type of scenario highlights the need for identifying and measuring of the contribution of banks to systemic risk in the financial system. Then, the aim of this paper is to propose, for the first time, a new approach to measure systemic risk in the financial institutions. This approach is based on the epidemic model methodology. Then, we use the SEIR model with four compartments: Susceptible, Exposed, Infected, and Removed. We apply this model for a sample of 18 Greek banks listed in the Athens Exchange over the period from 2 January 2006 to 31 December 2012. Based on the empirical results, we find the existence of 12 times of default transmission during the study period and the transmission of default coincides with the number of Greek banks that have declared failure and then leaving the Athens Exchange. Also, we remark that the continuation of aid and recovery plans granted by international and national regulatory authorities did enough to save Greek banks.
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Suggested Citation

  • Abdelkader Derbali & Slaheddine Hallara & David Mcmillan, 2016. "Measuring systemic risk of Greek banks: New approach by using the epidemic model “SEIR”," Post-Print hal-01696006, HAL.
    • Handle: RePEc:hal:journl:hal-01696006
    DOI: 10.1080/23311975.2016.1153864
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    Cited by:

    1. Tingqiang Chen & Lei Wang & Jining Wang & Qi Yang, 2017. "A Network Diffusion Model of Food Safety Scare Behavior considering Information Transparency," Complexity, Hindawi, vol. 2017, pages 1-16, December.
    2. Tian, Gang & Wang, Yumeng & Gong, Yu & Tian, Yi & Piao, Xuexu & Zhang, Tianyu, 2024. "The contagion mechanism and governance strategy of corporate social irresponsibility of Chinese food companies," Food Policy, Elsevier, vol. 122(C).
    3. Chen, Tingqiang & Wang, Jiepeng & Liu, Haifei & He, Yuanping, 2019. "Contagion model on counterparty credit risk in the CRT market by considering the heterogeneity of counterparties and preferential-random mixing attachment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 458-480.
    4. Wang, Lei & Li, Shouwei & Chen, Tingqiang, 2019. "Investor behavior, information disclosure strategy and counterparty credit risk contagion," Chaos, Solitons & Fractals, Elsevier, vol. 119(C), pages 37-49.

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