From fragmented listings to systemic-risk signals: A proxy-augmented ΔCoVaR framework for the African banking systems

This paper proposes an asset-weighted, proxy-augmented ΔCoVaR framework for measuring systemic risk in African banking systems with limited direct equity-market observability. The method preserves listed local banks and augments country-level systems through valid listed parent, holding-company, or ultimate-parent links. Applied to ten African markets, including main-tier comparison countries and frontier market examples, the framework improves banking-sector asset coverage, expands market observability, and enables disciplined measurement where conventional listed-bank ΔCoVaR is infeasible or weak. The results show that proxy augmentation preserves main risk trajectories while reducing noise, clarifying major global, regional, and local systemic-risk episodes and their differing transmission patterns, improving investment-relevant interpretation.

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Publication Details

Journal
Investment Analysts Journal
Published
2026-10-17
DOI
https://doi.org/10.1080/10293523.2026.2732823
Primary Topic
Banking stability, regulation, efficiency
Type
article
Field-Weighted Citation Impact
0.00

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article

From fragmented listings to systemic-risk signals: A proxy-augmented ΔCoVaR framework for the African banking systems

Marta Anita Karaś, Franz Eduard Toerien, Michał Boda, Michał Stachura
Investment Analysts Journal
Banking stability, regulation, efficiency
article

From fragmented listings to systemic-risk signals: A proxy-augmented ΔCoVaR framework for the African banking systems

Marta Anita Karaś, Franz Eduard Toerien, Michał Boda, Michał Stachura
article en

Abstract

This paper proposes an asset-weighted, proxy-augmented ΔCoVaR framework for measuring systemic risk in African banking systems with limited direct equity-market observability. The method preserves listed local banks and augments country-level systems through valid listed parent, holding-company, or ultimate-parent links. Applied to ten African markets, including main-tier comparison countries and frontier market examples, the framework improves banking-sector asset coverage, expands market observability, and enables disciplined measurement where conventional listed-bank ΔCoVaR is infeasible or weak. The results show that proxy augmentation preserves main risk trajectories while reducing noise, clarifying major global, regional, and local systemic-risk episodes and their differing transmission patterns, improving investment-relevant interpretation.

Investment Analysts Journal
Jan Kochanowski University (PL), Krakow University of Economics (PL), Wroclaw University of Economics and Business (PL), University of Pretoria (ZA)
University of Pretoria, Uniwersytet Jana Kochanowskiego w Kielcach, Narodowa Agencja Wymiany Akademickiej, Uniwersytet Ekonomiczny w Krakowie
Openalex Percentile: Top 8%
Banking stability, regulation, efficiency
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