This chapter investigates the presence of a difference in the systemic risk
level between Islamic and conventional banks in Bangladesh. The authors
compare systemic resilience of three types of banks: fully fledged Islamic
banks, purely conventional banks (CB), and CB with Islamic windows.
The authors use the market-based systemic risk measures of marginal
expected shortfall and systemic risk to identify which type is more vulnerable
to a systemic event. The authors also use ΔCoVaR to identify which
type contributes more to a systemic event. Using a sample of observations
on 27 publicly traded banks operating over the 2005–2014 period,
the authors find that CB is the least resilient sector to a systemic event,
and is the one that has the highest contribution to systemic risk during
crisis times.