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Systemic Risk: A Comparative Study between Public and Private Banks

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  • Aymen Mselmi

    (College of Business Al Kamil, University of Jeddah, Saudi Arabia; & Higher Institute of Business Administration of Gafsa (ISAEG), University of Gafsa, Tunisia,)

  • Imen Mahmoud

    (Laboratory of Research in Innovative Management Risk, Accounting and Finance (LARIMRAF) University of Manouba, Tunisia.)

Abstract

This paper aims to study the capital insufficiency in various Tunisian banks which are on the list of the Tunisian stock exchange market. Basing our work on the various measures of systemic risk, we have modeled the shortfall capital of the Tunisian banking sector in order to compare private banks and public ones in terms of exposure to systemic risk. We have also studied the effect of stock market shocks on the banks' marginal expected shortfall. The results obtained show that the systemic risk for the period 2006 and 2013 is mainly conveyed by the three public banks.

Suggested Citation

  • Aymen Mselmi & Imen Mahmoud, 2023. "Systemic Risk: A Comparative Study between Public and Private Banks," International Journal of Economics and Financial Issues, Econjournals, vol. 13(3), pages 117-125, May.
    • Handle: RePEc:eco:journ1:2023-03-12
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Systemic Risk; Marginal Expected Shortfall; Public Bank; Private Bank;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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