Financial stability and macro prudential regulation : policy implication of systemic expected shortfall measure

Abstract EN

In this paper we highlighted the importance of systemic risk in the new framework of financial regulation.

We employed several macro-economic variables and balance sheets indicators, to underline the degree of vulnerability of Tunisian banking sector .We also applied the Systemic Expected Shortfall measurement for the case of Tunisian financial institutions.

Empirically, we showed which variable had a powerful alternative in explaining potential riskiness of Tunisian banking sector during the financial crisis of 2011.

Our analytical framework presents a recent essay to evaluate systemic importance of Tunisian banks