Systemic Risk and Financial Contagion in Morocco: New Approaches of Quantification

Abstract

In this paper, we search to evaluate the systemic risk of the Moroccan banking sector. Indeed, we concentrate on the analysis and the evaluation on transverse dimension of the systemic. From this point of view, two approaches were used. First is based on the estimate on value at risk conditional allowing to measure the systemic importance of each banking institution. In addition, the second approach uses the heteroscedasticity models in order to consider the conditional correlations, making it possible, to measure the dependence between the Moroccan banks and with the whole of the financial system. The results obtained with through these two approaches confirm that ATW, BMCI and the BMCE are the most systemic banks in Moroccan banking system and who can initiate a systemic crisis. On another register and by using the conditional correlations of each bank we built an index of systemic risk. Moreover, a macrofinancial model was developed, connecting the index of the systemic risk and the principal macroeconomic variables. This model affirmed that the contagion dimension of systemic risk is procyclical.

Citation

Zakaria, F. (2015), "Systemic Risk and Financial Contagion in Morocco: New Approaches of Quantification", Overlaps of Private Sector with Public Sector around the Globe (Research in Finance, Vol. 31), Emerald Group Publishing Limited, Leeds, pp. 141-171. https://doi.org/10.1108/S0196-382120150000031007