Systemic risk of the Greek financial institutions: application of the SRISK model Online publication date: Thu, 17-Sep-2015
by Abdelkader Derbali; Slaheddine Hallara; Aida Sy
African J. of Accounting, Auditing and Finance (AJAAF), Vol. 4, No. 1, 2015
Abstract: This paper proposes a conditional approach to estimate the systemic risk which allows decomposing the risk of the aggregate financial system of Greece (measured by Expected Shortfall). We use the SRISK index to measure the systemic risk contribution of a financial firm. SRISK represents a function of the firm's financial size, its degree of leverage and its expected equity loss conditional on a market downturn. We employ the SRISK to examine the systemic risk of top Greek financial institutions between June 2007 and December 2014 which corresponds to the period of the financial crisis of 2007. The results show that after the crisis of 2007, the SRISK reached its maximum during 2012 and 2013. Then, we find that the Bank of Greece, the National Bank, Piraeus Bank, the Eurobank Ergasias and the Alpha Bank present the top of systemic risk in Greece. In addition, we remark that the change of SRISK, DEBT, EQUITY and RISK of Greek banks is very important which explains the higher degree of instability and recession of the financial system of Greece.
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the African J. of Accounting, Auditing and Finance (AJAAF):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email subs@inderscience.com
Our Blog 
Follow us on Twitter 
Visit us on Facebook