On the Contribution of Banks and Other Financial Services to Systemic Risk in an Era of Revolution: Fresh Insights from Tunisia

In this paper, we approach the systemic risk of the Tunisian financial system in the broad sense, that means the impact of a financial market downturn on financial firms' recapitalization. We adopt the SRISK methodology to measure the capital shortfall a firm could experience conditional on a financial market distress and to identify the most exposed institutions with it. We retain all Tunisian listed financial institutions in banking, leasing, insurance and financial investment sectors. The study period covers 45 months over the period 2007-2015, when Tunisian market generated monthly negative returns. Results suggest that rankings remain stable before and after the revolution, marked by the predominance of public banks (STB and BH, BNA becomes systemic after the revolution) and then few private ones (AB and BT) and the investment company TUNINVEST. Tunisian Insurance companies are not exposed to systemic risk, both before and after the revolution. The leasing sector had extremely low exposure to systemic risk during the 2007 year and then recovered following recapitalization of the two companies ATL and CIL.