Master of Science in Economics
Faculty / School
Faculty of Business Administration (FBA)
Department of Economics
Date of Submission
Dr. Qazi Masood Ahmed, Institute of Business Administration, Karachi
MSECO Research Project
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.
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 SR: a measure of systemic risk contribution of banks in Pakistan (Unpublished graduate research project).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.