IDEAS home Printed from https://ideas.repec.org/a/ids/ajaafi/v4y2015i1p7-28.html
   My bibliography  Save this article

Systemic risk of the Greek financial institutions: application of the SRISK model

Author

Listed:
  • Abdelkader Derbali
  • Slaheddine Hallara
  • Aida Sy

Abstract

This paper proposes a conditional approach to estimate the systemic risk which allows decomposing the risk of the aggregate financial system of Greece (measured by Expected Shortfall). We use the SRISK index to measure the systemic risk contribution of a financial firm. SRISK represents a function of the firm's financial size, its degree of leverage and its expected equity loss conditional on a market downturn. We employ the SRISK to examine the systemic risk of top Greek financial institutions between June 2007 and December 2014 which corresponds to the period of the financial crisis of 2007. The results show that after the crisis of 2007, the SRISK reached its maximum during 2012 and 2013. Then, we find that the Bank of Greece, the National Bank, Piraeus Bank, the Eurobank Ergasias and the Alpha Bank present the top of systemic risk in Greece. In addition, we remark that the change of SRISK, DEBT, EQUITY and RISK of Greek banks is very important which explains the higher degree of instability and recession of the financial system of Greece.

Suggested Citation

  • Abdelkader Derbali & Slaheddine Hallara & Aida Sy, 2015. "Systemic risk of the Greek financial institutions: application of the SRISK model," African Journal of Accounting, Auditing and Finance, Inderscience Enterprises Ltd, vol. 4(1), pages 7-28.
    • Handle: RePEc:ids:ajaafi:v:4:y:2015:i:1:p:7-28
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=71751
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Abdelkader Derbali & Slaheddine Hallara, 2016. "Measuring systemic risk of Greek banks: New approach by using the epidemic model “SEIR”," Cogent Business & Management, Taylor & Francis Journals, vol. 3(1), pages 1153864-115, December.
    2. Abdelkader DERBALI & Ali LAMOUCHI, 2020. "RETRACTED ARTICLE: The triple (T3) dimension of systemic risk: identifying systemically important banks in Eurozone Abstract: Editor’s Note - This paper has been retracted from our journal due to bogu," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 11, pages 87-122, June.
    3. Yang, Xin & Wen, Shigang & Zhao, Xian & Huang, Chuangxia, 2020. "Systemic importance of financial institutions: A complex network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    4. Cipollini, Fabrizio & Ielasi, Federica & Querci, Francesca, 2024. "Asset encumbrance in banks: Is systemic risk affected?," Research in International Business and Finance, Elsevier, vol. 67(PA).
    5. Derbali, Abdelkader & Hallara, Slaheddine, 2016. "Systemic risk of European financial institutions: Estimation and ranking by the Marginal Expected Shortfall," Research in International Business and Finance, Elsevier, vol. 37(C), pages 113-134.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ajaafi:v:4:y:2015:i:1:p:7-28. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=383 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.