Pandemic Crisis and Increasing Systemic Risk Among Tunisian Listed Banks Using CoVAR Measure: The Case of the COVID-19 Crisis

Abstrakt

In recent years, financial institutions have become increasingly interconnected, meaning that failure of one institution can spread to the entire network. This is known as financial contagion. In this article, we examine the evolution of systemic risk among the twelve Tunisian banks listed on the stock exchange and address the issue of the impact of COVID-19 on systemic risk in the Tunisian banking sector. We assess the impact of a bank's negative stock market returns on other banks in the sample and thus propose a measure of systemic risk for the banking sector. Systemic risk measures also make it possible to identify systemically important institutions. The results show that the recovery from the crisis has not been uniform. While some banks are gradually emerging from systemic risk, others are seeing their systemic influence grow significantly, perhaps due to their size, interconnectedness, or post-crisis growth strategy.