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Comparing systemic risk measures during a financial crash

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dc.contributor Graduate Program in Economics.
dc.contributor.advisor Saltoğlu, Burak.
dc.contributor.author Kılıç, İnan.
dc.date.accessioned 2023-03-16T12:00:15Z
dc.date.available 2023-03-16T12:00:15Z
dc.date.issued 2019.
dc.identifier.other EC 2019 K56
dc.identifier.uri http://digitalarchive.boun.edu.tr/handle/123456789/16337
dc.description.abstract This paper investigates 2000 Turkish Banking Crisis utilizing market based and network based systemic risk measures. In this investigation, MES, SRISK and ΔCoVaR are taken as market based measures whereas Degree centrality, Closeness centrality and Betweenness centrality are evaluated as financial network measures. The analyses are performed for 12 Turkish Banks and the performance of the inherently different systemic risk measures in identifying and detecting the stress of the banking sector are compared with an event study. The findings suggest that different systemic risk measures point out different systemically important financial institutions (SIFI). Empirically, we derive that (1) SRISK is capable of capturing a too-connected-to-fail bank, Demirbank, despite its market based nature and that (2) MES is the only measure providing statistically significant results for market, too connected-to-fail banks and too-big-to-fail banks together.
dc.format.extent 30 cm.
dc.publisher Thesis (M.A.) - Bogazici University. Institute for Graduate Studies in the Social Sciences, 2019.
dc.subject.lcsh Banks and banking -- Turkey.
dc.subject.lcsh Financial crises -- Turkey.
dc.title Comparing systemic risk measures during a financial crash
dc.format.pages x, 40 leaves ;


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