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Systemic Risk Contribution of Individual Banks

Author

Listed:
  • Huseyin Cagri Akkoyun
  • Ramazan Karasahin
  • Gursu Keles

Abstract

In this study, we measure systemic importance of individual banks that are listed in the Istanbul Stock Exchange. Regarding the whole system as a portfolio of individual banks, we calculate the system-wide risk via contingent claims analysis. Using Shapley values, we assess the systemicimportance of each bank according to its marginal contribution to the calculated system wide risk measure, expected shortfall of the system. Our calculations reveal that market participants perceived 2000 and 2001 banking crises to be devastating for the Turkish banking sector. Since 2002, the banking sector seems to do a good job in eliminating idiosyn- cratic shocks within the system.

Suggested Citation

  • Huseyin Cagri Akkoyun & Ramazan Karasahin & Gursu Keles, 2013. "Systemic Risk Contribution of Individual Banks," Working Papers 1318, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    • Handle: RePEc:tcb:wpaper:1318
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    File URL: https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Research/Working+Paperss/2013/13-18
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    References listed on IDEAS

    as
    1. Mr. Dale F Gray & Mr. James P Walsh, 2008. "Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System," IMF Working Papers 2008/089, International Monetary Fund.
    2. Dale F. Gray & Robert C. Merton & Zvi Bodie, 2007. "New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability," NBER Working Papers 13607, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Markus Eller & Florian Huber & Helene Schuberth, 2016. "Weathering global shocks and macrofinancial vulnerabilities in emerging Europe: Comparing Turkey and Poland," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 46-65.

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    More about this item

    Keywords

    Systemic Risk; Contingent Claims Analysis; Shapley Value;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • C71 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Cooperative Games

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