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• W3121373456 abstract "This paper aims at analyzing the effects of “size”, “financial stability” and “equity return” on the systemic risk of Egyptian banks. This has been conducted using a sample of 11 banks (out of 14 banks listed in the Egyptian exchange), and covering the period from January 2003 to December 2013. Systemic risk is measured by “Value at Risk” that expresses the maximum loss within a q%-confidence interval during a certain period of time. Determinants of systemic risk to be examined, may be economic, as “size” in terms of TBTF rule. They may be financial, where “financial stability” is addressed as the ability of financial system to resolve systemic risks. Besides, “equity return” is assumed as a market determinant. Results indicate that size and financial stability may affect systemic risk of Egyptian banks during research period, using cross sectional analysis, by monthly returns (1-month, 0.99 VaR) for the pre-crisis, during-crisis and all the research periods. Also, robustness check investigates the effect of financial stability, using time series analysis, by daily returns (1-day, 0.99 VaR)." @default.
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• W3121373456 date "2015-02-25" @default.
• W3121373456 modified "2023-10-01" @default.
• W3121373456 title "Determinants of Systemic Risk: The Case of Egyptian Banks" @default.
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• W3121373456 doi "https://doi.org/10.5539/ibr.v8n3p112" @default.
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