Title: Systemic risk measurement for GCC financial institutions and its role for oil
Authors: Massimiliano Caporin - University of Padova (Italy) [presenting]
Michele Costola - SAFE, Goethe University Frankfurt (Germany)
Shawkat Hammoudeh - Drexel University (United States)
Ahmed Khalifa - Qatar University (Qatar)
Abstract: The systemic risk is analyzed across a group of financial companies traded on the financial markets of six oil rich economies, the GCC countries. The focus is first on the estimation of MES and Delta-CoVaR, and the association of these measures to oil price fluctuations. Later, the impact of oil on the CoVaR is investigated using a HAR structure. By resorting to a rolling approach, the study allows detecting the impact of a change in a fundamental factor (the oil) to the financial sector of oil-rich economies. The results show that systemic risk measures are associated with movements in the oil price and that oil has a significant impact on a large fraction of the financial companies in the database.