Quantifying systemic risk in Morocco’s banking system using Euler indicators and extreme dependence

Artikel

This article contributes to the quantification of systemic risk within the Moroccan banking system, focusing on listed banks. We utilize indicators derived from Tail Value at Risk and expectiles risk measures, as introduced by El qalli and Said (2013) (El Qalli & Said, 2023), to measure the marginal risk of each component. Additionally, we analyze extreme dependencies within the system using tail dependence coefficients. Empirical results identify Attijariwafa Bank and Banque Centrale Populaire as the most systemic banks in Morocco, carrying the potential to trigger systemic crises.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Cogent Business & Management ; ISSN: 2331-1975 ; Volume: 10 ; Year: 2023 ; Issue: 3 ; Pages: 1-19

Classification and Topics

• Classification: Management ; Mathematical Methods ; Financial Crises ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Financial Institutions and Services: Government Policy and Regulation ; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
• Subject: Copulas ; Euler Method ; extreme dependence ; risk measures ; Systemic risk

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Said, Khalil ; Qalli, Yassine EL ; Fadlallah, Abdellali
• Event: Veröffentlichung
• (who): Taylor & Francis
• (where): Abingdon
• (when): 2023

Further information

• DOI: doi:10.1080/23311975.2023.2278256
• Last update: 10.03.2025, 11:43 AM CET