Financial Stability and Macro Prudential Regulation: Policy Implication of Systemic Expected Shortfall Measure - Economic Research Forum (ERF)

Financial Stability and Macro Prudential Regulation: Policy Implication of Systemic Expected Shortfall Measure

Hatem Salah and Marwa Souissi


Date:
April, 2016

NO.
985

Length:
35 pages

Topic:
C5. Econometric Modeling
C2. Single Equation Models
G. Financial Economics

 Abstract

In this paper we highlighted the importance of systemic risk in the new framework of financial regulation. We employed several macro-economic variables and balance sheets indicators, to underline the degree of vulnerability of Tunisian banking sector .We also applied the Systemic Expected Shortfall measurement for the case of Tunisian financial institutions. Empirically, we showed which variable had a powerful alternative in explaining potential riskiness of Tunisian banking sector during the financial crisis of 2011. Our analytical framework presents a recent essay to evaluate systemic importance of Tunisian banks.

ملخص

يتم في هذا البحث تسليط الضوء على أهمية المخاطر النظامية في الإطار الجديد للتنظيم المالي. قمنا بتوظيف متغيرات الاقتصاد الكلي وعدة مؤشرات ميزانيات ، للتأكيد على مدى ضعف القطاع المصرفي التونسي. قمنا أيضا بتطبيق الجهازية المتوقعة لقياس العجز فى حالة المؤسسات المالية التونسية. تجريبيا، أظهرنا  أن متغير كان بديلا قويا في شرح مخاطر المحتملة من القطاع المصرفي التونسي خلال الأزمة المالية لعام 2011. لدينا الإطار التحليلي في هذه الدرلسة لتقييم أهمية النظامية من البنوك التونسية

Hatem Salah


Marwa Souissi


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