Pan-African banks, banking interconnectivity: A new systemic risk measure in the WAEMU

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dc.contributor.authorSaidane, Dhafer
dc.contributor.authorSène, Babacar
dc.contributor.authorKanga, Kouamé Désiré
dc.date.accessioned2023-05-20T21:22:07Z
dc.date.available2023-05-20T21:22:07Z
dc.date.issued2021-07-04
dc.descriptionJournal of International Financial Markets, Institutions and Money, Volume 74en_US
dc.description.abstractThis paper examines the existence of potential systemic risk in the banking sector of the West African Economic and Monetary Union (WAEMU) by using hand-collected bank-level data from all WAEMU countries for 2000–2017. One original aspect of our paper is the estimation of probabilities of default, in conjunction with the CIMDO method (Consistent Information Multivariate Density Optimizing) and the use of clustering techniques. We find that most of the banks have a very low probability of default, but there is a high joint probability of default for most pairs of banks. Therefore, there are seeds of systemic risk in the WAEMU: if the financial strength of large banking groups deteriorates, there could be contagion effects that could weaken the union. The use of quantile estimation has helped to determine banks’ characteristics that may explain the systemic risk.en_US
dc.description.sponsorshipACE: Statistics and Quantitative Economicsen_US
dc.identifier.citationSaidane, D., Sène, B., & Kanga, K. D. (2021). Pan-African banks, banking interconnectivity: A new systemic risk measure in the WAEMU. Journal of International Financial Markets, Institutions and Money, 74, 101405.en_US
dc.identifier.issn1042-4431
dc.identifier.urihttps://doi.org/10.1016/j.intfin.2021.101405
dc.identifier.urihttp://hdl.handle.net/123456789/1855
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.subjectCross-border banking groupsen_US
dc.subjectSystemic risken_US
dc.subjectCIMDOen_US
dc.subjectClustersen_US
dc.subjectWAEMUen_US
dc.subjectÉcole Nationale Supérieure de Statistique et d'Economie Appliquée d'Abidjan (ENSEA)en_US
dc.subjectSocial Scienceen_US
dc.titlePan-African banks, banking interconnectivity: A new systemic risk measure in the WAEMUen_US
dc.typeArticleen_US
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