Systemic Risk: A Comparative Study between Public and Private Banks


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Authors

  • Aymen Mselmi College of Business Al Kamil, University of Jeddah, Saudi Arabia; & Higher Institute of Business Administration of Gafsa (ISAEG), University of Gafsa, Tunisia,
  • Imen Mahmoud Laboratory of Research in Innovative Management Risk, Accounting and Finance (LARIMRAF) University of Manouba, Tunisia.

DOI:

https://doi.org/10.32479/ijefi.13622

Keywords:

Systemic Risk, Marginal Expected Shortfall, Public Bank, Private Bank

Abstract

This paper aims to study the capital insufficiency in various Tunisian banks which are on the list of the Tunisian stock exchange market. Basing our work on the various measures of systemic risk, we have modeled the shortfall capital of the Tunisian banking sector in order to compare private banks and public ones in terms of exposure to systemic risk. We have also studied the effect of stock market shocks on the banks' marginal expected shortfall. The results obtained show that the systemic risk for the period 2006 and 2013 is mainly conveyed by the three public banks.

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Author Biographies

Aymen Mselmi, College of Business Al Kamil, University of Jeddah, Saudi Arabia; & Higher Institute of Business Administration of Gafsa (ISAEG), University of Gafsa, Tunisia,

Dr Aymen MSELMI Is a Ph.D in Finance at the University of Tunis el Manar (UTM). Actually, he is an Assitant Professor at university of Jeddah. His research interests focus on the Corporate Governance, Banking Performance and Risk Management and in particular Systemic Risk. Currently, he teaches financial management, financial markets and assets valuation, long-term financial decisions, banks and financial institutions and business valuation. Mselmi has published in International Journal of Economics and Financial Issues (IJEFI) for two occasions. Thus, he holds the position of Head of Department of Management at the University of Montplaisir Tunis.

Imen Mahmoud, Laboratory of Research in Innovative Management Risk, Accounting and Finance (LARIMRAF) University of Manouba, Tunisia.

Imen Mahmoud is a researcher at Laboratory of Research in “Innovative and Management Risk, Accounting and Finance”, University of Mannouba. Dr Imen Mahmoud received her PhD in Finance from University of Tunis El Manar. Dr. Imen Mahmoud published a number of papers in preferred Journals and participated in a range of forums on Finance. She also presented various academic as well as research-based papers at several national and international conferences. Her areas of Interests include portfolio management, derivatives and capital market.

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Published

2023-05-14

How to Cite

Mselmi, A., & Mahmoud, I. (2023). Systemic Risk: A Comparative Study between Public and Private Banks. International Journal of Economics and Financial Issues, 13(3), 117–125. https://doi.org/10.32479/ijefi.13622

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Articles