Measuring systemic risk of Greek banks: New approach by using the epidemic model “SEIR”

In the last decade of the financial crisis of 2007, the international financial system appeared to be on the brink of a major systemic crisis which leads to a failure of a systemically important European bank. This type of scenario highlights the need for identifying and measuring of the contributio...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Abdelkader Derbali, Slaheddine Hallara
Formato:	article
Lenguaje:	EN
Publicado:	Taylor & Francis Group 2016
Materias:	systemic risk epidemic model seir greek banks transmission Business HF5001-6182 Management. Industrial management HD28-70
Acceso en línea:	https://doaj.org/article/db8e0b786e7f4d52b50b1e13232f9b7c
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:db8e0b786e7f4d52b50b1e13232f9b7c
record_format	dspace
spelling	oai:doaj.org-article:db8e0b786e7f4d52b50b1e13232f9b7c2021-12-02T14:07:32ZMeasuring systemic risk of Greek banks: New approach by using the epidemic model “SEIR”2331-197510.1080/23311975.2016.1153864https://doaj.org/article/db8e0b786e7f4d52b50b1e13232f9b7c2016-12-01T00:00:00Zhttp://dx.doi.org/10.1080/23311975.2016.1153864https://doaj.org/toc/2331-1975In the last decade of the financial crisis of 2007, the international financial system appeared to be on the brink of a major systemic crisis which leads to a failure of a systemically important European bank. This type of scenario highlights the need for identifying and measuring of the contribution of banks to systemic risk in the financial system. Then, the aim of this paper is to propose, for the first time, a new approach to measure systemic risk in the financial institutions. This approach is based on the epidemic model methodology. Then, we use the SEIR model with four compartments: Susceptible, Exposed, Infected, and Removed. We apply this model for a sample of 18 Greek banks listed in the Athens Exchange over the period from 2 January 2006 to 31 December 2012. Based on the empirical results, we find the existence of 12 times of default transmission during the study period and the transmission of default coincides with the number of Greek banks that have declared failure and then leaving the Athens Exchange. Also, we remark that the continuation of aid and recovery plans granted by international and national regulatory authorities did enough to save Greek banks.Abdelkader DerbaliSlaheddine HallaraTaylor & Francis Grouparticlesystemic riskepidemic modelseirgreek bankstransmissionBusinessHF5001-6182Management. Industrial managementHD28-70ENCogent Business & Management, Vol 3, Iss 1 (2016)
institution	DOAJ
collection	DOAJ
language	EN
topic	systemic risk epidemic model seir greek banks transmission Business HF5001-6182 Management. Industrial management HD28-70
spellingShingle	systemic risk epidemic model seir greek banks transmission Business HF5001-6182 Management. Industrial management HD28-70 Abdelkader Derbali Slaheddine Hallara Measuring systemic risk of Greek banks: New approach by using the epidemic model “SEIR”
description	In the last decade of the financial crisis of 2007, the international financial system appeared to be on the brink of a major systemic crisis which leads to a failure of a systemically important European bank. This type of scenario highlights the need for identifying and measuring of the contribution of banks to systemic risk in the financial system. Then, the aim of this paper is to propose, for the first time, a new approach to measure systemic risk in the financial institutions. This approach is based on the epidemic model methodology. Then, we use the SEIR model with four compartments: Susceptible, Exposed, Infected, and Removed. We apply this model for a sample of 18 Greek banks listed in the Athens Exchange over the period from 2 January 2006 to 31 December 2012. Based on the empirical results, we find the existence of 12 times of default transmission during the study period and the transmission of default coincides with the number of Greek banks that have declared failure and then leaving the Athens Exchange. Also, we remark that the continuation of aid and recovery plans granted by international and national regulatory authorities did enough to save Greek banks.
format	article
author	Abdelkader Derbali Slaheddine Hallara
author_facet	Abdelkader Derbali Slaheddine Hallara
author_sort	Abdelkader Derbali
title	Measuring systemic risk of Greek banks: New approach by using the epidemic model “SEIR”
title_short	Measuring systemic risk of Greek banks: New approach by using the epidemic model “SEIR”
title_full	Measuring systemic risk of Greek banks: New approach by using the epidemic model “SEIR”
title_fullStr	Measuring systemic risk of Greek banks: New approach by using the epidemic model “SEIR”
title_full_unstemmed	Measuring systemic risk of Greek banks: New approach by using the epidemic model “SEIR”
title_sort	measuring systemic risk of greek banks: new approach by using the epidemic model “seir”
publisher	Taylor & Francis Group
publishDate	2016
url	https://doaj.org/article/db8e0b786e7f4d52b50b1e13232f9b7c
work_keys_str_mv	AT abdelkaderderbali measuringsystemicriskofgreekbanksnewapproachbyusingtheepidemicmodelseir AT slaheddinehallara measuringsystemicriskofgreekbanksnewapproachbyusingtheepidemicmodelseir
_version_	1718391935382585344

Measuring systemic risk of Greek banks: New approach by using the epidemic model “SEIR”

Ejemplares similares