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.
Authors
- Marta Anita Karaś (ORCID: https://orcid.org/0000-0003-2589-8147)
- Franz Eduard Toerien (ORCID: https://orcid.org/0000-0003-0057-1340)
- Michał Boda (ORCID: https://orcid.org/0000-0001-8959-632X)
- Michał Stachura (ORCID: https://orcid.org/0000-0002-0115-3522)
Institutions
- Jan Kochanowski University (PL)
- Krakow University of Economics (PL)
- Wroclaw University of Economics and Business (PL)
- University of Pretoria (ZA)
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
Funders
- University of Pretoria
- Uniwersytet Jana Kochanowskiego w Kielcach
- Narodowa Agencja Wymiany Akademickiej
- Uniwersytet Ekonomiczny w Krakowie