Assessing systemic risk of Islamic banks during the COVID-19 pandemic crisis

Ibrahim Fatnassi; Yacine Hammami

doi:10.1080/13504851.2023.2169239

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Assessing systemic risk of Islamic banks during the COVID-19 pandemic crisis

Journal article

Peer reviewed

Assessing systemic risk of Islamic banks during the COVID-19 pandemic crisis

Ibrahim Fatnassi and Yacine Hammami

Applied economics letters, Vol.ahead-of-print(ahead-of-print), pp.1-8

23/01/2023

DOI: https://doi.org/10.1080/13504851.2023.2169239

Abstract

COVID-19

Islamic banks

marginal expected shortfall

measure

Systemic risk

We examine the systemic risk (SR) of listed Islamic banks (IB) around the world for the 2005-2020 period. Our research hypothesis states that if IB are resilient to economic crises, we expect a stable pattern of SR for IB across pre- and during international crises. Our empirical results do not confirm this hypothesis. We find evidence that the SR of IB has increased sharply during the subprime and COVID-19 crises. Furthermore, we identify the presence of systematically important Islamic banks (SIIB). These results are robust to different measures of SR and do not depend on a specific region. These findings suggest that the Islamic banking system is vulnerable to downside risk and to the failure of SIIB.

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Title: Assessing systemic risk of Islamic banks during the COVID-19 pandemic crisis
Creators - without role: Ibrahim Fatnassi - Jeddah University
Yacine Hammami - Al Baha University
Publication Details: Applied economics letters, Vol.ahead-of-print(ahead-of-print), pp.1-8
Publisher: Routledge
Identifiers: 9911956308331
Academic Unit: Al Baha University
Language: English
Resource Type: Journal article