On identifying the domestic systemically important banks: The case of Tunisia

被引：9
|
作者：
Hmissi, Bochra [1 ]
Bejaoui, Azza [2 ]
Snoussi, Wafa [3 ]
机构：
[1] High Inst Management ISG, Finance, Tunis, Tunisia
[2] Fac Econ & Management Sci, Quantitat Methods & Management Sci Dept, Finance, Cite Erriadh 4023, Sousse, Tunisia
[3] High Inst Management ISG, Dept Quantitat Methods & Econ, Quantitat Methods & Management Sci, Quantitat Methods, Tunis, Tunisia
来源：
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2017年 / 42卷
关键词：
Systemic risk; Macroprudential regulation; Tunisian banking system; CES measure; DCC model; RISK;
D O I：
10.1016/j.ribaf.2017.07.071
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper, we attempt to identify the Domestic Systemically Important Banks (D-SIB) in the Tunisian Banking System. Based on the CES measure proposed by Banulescu and Dumitrescu (2014), we compute the systemic risk of the financial institution during the period 01/06/200830/ 06/2015. The results allow us to classify Tunisian banks as systemically important financial institutions in Tunisian banking system. In this regard, Tunisian public banks (STB, BNA and BH) are the riskiest systemically banking sector.
引用
收藏
页码：1343 / 1354
页数：12
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