Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/294724 
Year of Publication: 
2023
Citation: 
[Journal:] Cogent Business & Management [ISSN:] 2331-1975 [Volume:] 10 [Issue:] 3 [Article No.:] 2278256 [Year:] 2023 [Pages:] 1-19
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
This article contributes to the quantification of systemic risk within the Moroccan banking system, focusing on listed banks. We utilize indicators derived from Tail Value at Risk and expectiles risk measures, as introduced by El qalli and Said (2013) (El Qalli & Said, 2023), to measure the marginal risk of each component. Additionally, we analyze extreme dependencies within the system using tail dependence coefficients. Empirical results identify Attijariwafa Bank and Banque Centrale Populaire as the most systemic banks in Morocco, carrying the potential to trigger systemic crises.
Subjects: 
Copulas
Euler Method
extreme dependence
risk measures
Systemic risk
JEL: 
C02
G01
G21
G28
G32
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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