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Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall

  • Irem Talasli

This 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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File URL: http://www.tcmb.gov.tr/wps/wcm/connect/TCMB+EN/TCMB+EN/Main+Menu/PUBLICATIONS/Research/Working+Paperss/2013/13-11
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Paper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series Working Papers with number 1311.

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Date of creation: 2013
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Handle: RePEc:tcb:wpaper:1311
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