Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall

Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall

Title : Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall
Number : 13/11
Author(s) : İrem Talaslı
Language : English
Date : February 2013
Abstract : 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 the contribution of each institution to system’s 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 during 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.
Keywords : Systemic Expected Shortfall, Marginal Expected Shortfall, Systemic Risk
JEL Codes : C21; C58; G01

 

Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall
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