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

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.