Measuring systemic risk of banking sector in Uzbekistan

Purpose This study investigates systemic risk and risk spillovers among 21 commercial banks in Uzbekistan. Design/methodology/approach To this end, we adopt the Conditional Value-at-Risk framework and employ quantile regression, panel regression and a panel vector autoregression with exogenous variables (Panel VARX). Findings The empirical results show that banks with higher individual risk contribute disproportionately to system-wide risk, and that systemic risk surged sharply during the COVID-19 period before rapidly subsiding. Macroeconomic factors are found to play a more prominent role in driving systemic risk than bank-specific characteristics, highlighting the banking sector's vulnerability to external shocks. Dynamic analysis further indicates that global uncertainty exerts a stronger influence on risk spillovers than domestic real-sector shocks. Practical implications These findings underscore the importance of strengthening bank-level risk management, enhancing system-wide supervision and establishing a robust macroprudential policy framework to mitigate externally driven systemic risks in Uzbekistan's banking sector. Originality/value This paper contributes to the emerging-economy literature by providing the first comprehensive CoVaR-based assessment of systemic risk in the Uzbek banking sector.