# Modelling Systemic Risk in Morocco’s Banking System

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## Abstract

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## 1. Introduction

## 2. Literature Review

## 3. Materials and Methods

#### 3.1. QRNN

#### 3.2. VaR

#### 3.3. CoVaR

## 4. Data

## 5. Model Selection

## 6. Results and Discussion

## 7. Conclusions

## Author Contributions

## Funding

## Data Availability Statement

## Conflicts of Interest

## Appendix A

**Figure A1.**The plot of VaR (grey line), CoVaR (red line), log-returns (black dots) for CIH, the recorded date of the first COVID-19 case in Morocco (vertical dashed blue line), τ = 1%.

**Figure A2.**The plot of VaR (grey line), CoVaR (red line), log-returns (black dots) for BCP, the recorded date of the first COVID-19 case in Morocco (vertical dashed blue line), τ = 1%.

**Figure A3.**The plot of VaR (grey line), CoVaR (red line), log-returns (black dots) for AWB, the recorded date of the first COVID-19 case in Morocco (vertical dashed blue line), τ = 1%.

**Figure A4.**The plot of VaR (grey line), CoVaR (red line), log-returns (black dots) for BMCI, the recorded date of the first COVID-19 case in Morocco (vertical dashed blue line), τ = 1%.

**Figure A5.**The plot of VaR (grey line), CoVaR (red line), log-returns (black dots) for CDM, the recorded date of the first COVID-19 case in Morocco (vertical dashed blue line), τ = 1%.

## Appendix B

## References

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**Figure 1.**The plot of VaR (grey line), CoVaR (red line), log-returns (black dots) for BOA, the recorded date of the first COVID-19 case in Morocco (vertical dashed blue line), τ = 1%.

Bank | Symbol |
---|---|

Attijariwafa Bank | AWB |

Banque Centrale Populaire | BCP |

Bank of Africa | BOA |

Banque Marocaine du Commerce et Industrie | BMCI |

Credit Immobilier et Hotelier | CIH |

Credit du Maroc | CDM |

Bank | Symbol |
---|---|

Morocco’s interbank market weighted average minus policy rate | IS |

Changes in Morocco’s interbank daily transactions volume | ITV |

10-Year Minus 3-Month Moroccan treasury yield spread | TS |

MASI’s daily log-returns | R-MASI |

Morocco’s banking index daily log-returns | R-B |

Bank | Min. | Max. | S.D. | Mean | Skewness | Kurtosis | J-B p-Value | ADF p-Value |
---|---|---|---|---|---|---|---|---|

AWB | −0.11 | 0.06 | 0.01 | 0 | −0.66 | 8.08 | 0 | 0.01 |

BCP | −0.11 | 0.07 | 0.01 | 0 | −0.91 | 12.45 | 0 | 0.01 |

BOA | −0.10 | 0.10 | 0.01 | 0 | 0.05 | 7.21 | 0 | 0.01 |

BMCI | −0.23 | 0.10 | 0.02 | 0 | −0.90 | 10.92 | 0 | 0.01 |

CIH | −0.10 | 0.08 | 0.02 | 0 | −0.10 | 4.18 | 0 | 0.01 |

CDM | −0.11 | 0.10 | 0.02 | 0 | −0.09 | 5.75 | 0 | 0.01 |

State-Variables | Min. | Max. | S.D. | Mean | Skewness | Kurtosis | J-B p-Value | ADF p-Value |
---|---|---|---|---|---|---|---|---|

R-B | −0.1030 | 0.0650 | 0.0091 | 0 | −1.3456 | 21.6283 | 0 | 0.01 |

R-MASI | −0.0923 | 0.0530 | 0.0073 | 0.0001 | −1.8328 | 30.2986 | 0 | 0.01 |

ITV | −0.8670 | 6.9423 | 0.4019 | 0.0538 | 5.1456 | 68.04 | 0 | 0.01 |

IS | −0.0050 | 0.0061 | 0.0009 | 0 | −1.912 | 16.5678 | 0 | 0.01 |

TS | −0.0018 | 0.0225 | 0.0019 | 0.0082 | −0.5770 | 6.3063 | 0 | 0.01 |

Model | AWB | BOA | CIH | BCP | BMCI | CDM |
---|---|---|---|---|---|---|

QR | 0.00466 | 0.00517 | 0.00596 | 0.00527 | 0.00836 | 0.00669 |

QRNN-100 | 0.00242 | 0.00391 | 0.00529 | 0.00193 | 0.00717 | 0.00586 |

QRNN-100-100-A | 0.00237 | 0.00381 | 0.00425 | 0.00168 | 0.00729 | 0.00537 |

CoVaR | DM Test | AWB | BOA | CIH | BCP | BMCI | CDM |
---|---|---|---|---|---|---|---|

QRNN-100-100-A | DM statistic | −13.43 | −17.692 | −13.394 | −23 | −1.8652 | −22.375 |

/QR | p-value | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.03107 | 0.0000 |

QRNN-100-100-A | DM statistic | −6.1557 | −8.6295 | −3.1601 | −6.0819 | −1.7234 | −21.876 |

/QRNN-100 | p-value | 0.0000 | 0.0000 | 0.0007 | 0.0000 | 0.0424 | 0.0000 |

Quarter | AWB | BOA | CIH | BCP | BMCI | CDM | |
---|---|---|---|---|---|---|---|

VaR | 2019Q4 | −0.0190 | −0.0308 | −0.0450 | −0.01351 | −0.0557 | −0.0521 |

2020Q1 | −0.0285 | −0.0371 | −0.0451 | −0.01751 | −0.0643 | −0.0492 | |

2020Q2 | −0.0207 | −0.0314 | −0.0366 | −0.01268 | −0.0546 | −0.0490 | |

2020Q3 | −0.0195 | −0.0324 | −0.0353 | −0.01762 | −0.0581 | −0.0516 | |

2020Q4 | −0.0179 | −0.0309 | −0.0348 | −0.01459 | −0.0527 | −0.0506 | |

CoVaR | 2019Q4 | −0.0613 | −0.0409 | −0.0593 | −0.0398 | −0.0993 | −0.0614 |

2020Q1 | −0.0662 | −0.0499 | −0.0669 | −0.0469 | −0.1034 | −0.0607 | |

2020Q2 | −0.0587 | −0.0432 | −0.0601 | −0.0407 | −0.0943 | −0.0579 | |

2020Q3 | −0.0603 | −0.0410 | −0.0591 | −0.0395 | −0.0920 | −0.0557 | |

2020Q4 | −0.0588 | −0.0392 | −0.0573 | −0.0385 | −0.0908 | −0.0554 |

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**MDPI and ACS Style**

Kyoud, A.; El Msiyah, C.; Madkour, J.
Modelling Systemic Risk in Morocco’s Banking System. *Int. J. Financial Stud.* **2023**, *11*, 70.
https://doi.org/10.3390/ijfs11020070

**AMA Style**

Kyoud A, El Msiyah C, Madkour J.
Modelling Systemic Risk in Morocco’s Banking System. *International Journal of Financial Studies*. 2023; 11(2):70.
https://doi.org/10.3390/ijfs11020070

**Chicago/Turabian Style**

Kyoud, Ayoub, Cherif El Msiyah, and Jaouad Madkour.
2023. "Modelling Systemic Risk in Morocco’s Banking System" *International Journal of Financial Studies* 11, no. 2: 70.
https://doi.org/10.3390/ijfs11020070