Usman, Muhammad - In: Borsa Istanbul Review 23 (2023) 1, pp. 203-216
We estimate the contribution of large U.S, banks to the financial sector systemic risk by using value-at-risk (VaR … large U.S, banks from 1997 to 2021, We find that banks contributing more to the systemic risk have lower future returns on … average, We also sort the portfolios' future returns into five pentiles based on systemic risk contribution (SRC) and find …