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Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall

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  • Irem Talasli

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 contribution of each institution to systems 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 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.

Suggested Citation

  • Irem Talasli, 2013. "Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 13(Special I), pages 25-40.
    • Handle: RePEc:tcb:cebare:v:13:y:2013:i:specialissue:p:25-40
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    File URL: https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Central+Bank+Review/2013/Special+Issue+on+Systemic+Risk
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    References listed on IDEAS

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    1. repec:fip:fedhpr:y:2010:i:may:p:65-71 is not listed on IDEAS
    2. Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2017. "Measuring Systemic Risk," The Review of Financial Studies, Society for Financial Studies, vol. 30(1), pages 2-47.
    3. Ercan Uygur, 2010. "The Global Crisis And The Turkish Economy," Working Papers 2010/3, Turkish Economic Association.
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    Cited by:

    1. Sinem Derindere Köseoğlu, 2023. "Understanding Systemic Risk Dynamics and Economic Growth: Evidence from the Turkish Banking System," Sustainability, MDPI, vol. 15(19), pages 1-24, September.

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    More about this item

    Keywords

    Systemic expected shortfall; Marginal expected shortfall; Systemic risk;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G01 - Financial Economics - - General - - - Financial Crises

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