Systemic risk spillover effects within the Moroccan banking industry

Abstract

This study reveals the hidden systemic risk spillover effects within Morocco’s banking industry using marginal effects derived from Conditional Value at Risk, network theory, and systemic risk indicators. Our findings identify Banque Centrale Populaire and Attijariwafa Bank as key propagators of systemic risk, emphasizing their capacity to trigger systemic crises that threaten financial system stability and, consequently, the real economy. These revelations provide crucial insights to develop targeted policy interventions to enhance the resilience of Morocco’s banking sector in the face of systemic crises.

Keywords

• Spillover effects
• systemic risk
• artificial neural networks
• network theory
• Moroccan banking system
• Mathematical Modeling