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Erscheinungsjahr: 
2023
Quellenangabe: 
[Journal:] Cogent Business & Management [ISSN:] 2331-1975 [Volume:] 10 [Issue:] 3 [Article No.:] 2278256 [Year:] 2023 [Pages:] 1-19
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
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.
Schlagwörter: 
Copulas
Euler Method
extreme dependence
risk measures
Systemic risk
JEL: 
C02
G01
G21
G28
G32
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Creative-Commons-Lizenz: 
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Dokumentart: 
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