Degree
Master of Science in Economics
Faculty / School
Faculty of Business Administration (FBA)
Department
Department of Economics
Date of Submission
2017-01-01
Supervisor
Dr. Qazi Masood Ahmed, Institute of Business Administration, Karachi
Project Type
MSECO Research Project
Access Type
Restricted Access
Keywords
Systemic risk, Capital shortfall, Balance sheet, Global financial crisis, Global economic growth
Abstract
This paper introduces a systemic risk measure, SR, which measures the systemic risk contribution of banks. SR estimates the capital shortfall of a firm provided that there is a prolonged decline in the market. SR is a function of the size of the bank’s balance sheet particularly size of the bank, its leverage and risk. In this study, SR estimates are calculated on a sample on 10 banks to deliver rankings on systemic risk contributions of these banks. The SR ranking shows increased systemic risk contribution by some banks in 2008-Q2 which shows its usefulness in gauging systemic risk of the banking system.
Pages
ix, 24
Recommended Citation
Siddiqui, M. M. (2017). SR: a measure of systemic risk contribution of banks in Pakistan (Unpublished graduate research project). Institute of Business Administration, Pakistan. Retrieved from https://ir.iba.edu.pk/research-projects-mseco/11
The full text of this document is only accessible to authorized users.
