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2015 | WPS 1/2015 | 1-15
Article title

WHAT KIND OF SYSTEMIC RISKS DO WE FACE IN THE EUROPEAN BANKING SECTOR? THE APPROACH OF CoVaR MEASURE

Content
Title variants
Languages of publication
EN
Abstracts
We measure a systemic risk faced by European banking sectors using the CoVaR measure. We propose the conditional value-at-risk (CoVaR) for measuring a spillover risk which demonstrates the bilateral relation between the tail risks of two financial institutions. The aim of the study is to estimate the contribution systemic risk of the bank i in the analyzed banking sector of a country in conditions of its insolvency. The study included commercial banks from 8 emerging markets from Europe, which gave a total of 40 banks, traded on the public market, which provided a market valuation of the bank's capital. The conclusions are that the CoVaR seems to be a better measure for systemic risk in the banking sector than the VaR, which is more individual. And banks in developing countries in Europe do not provide significant risk for the banking sector as a whole. But it must be taken into account that some individuals that may find objectionable. Our results hence tend to a practical use of the CoVaR for supervisory purposes.
Year
Issue
Pages
1-15
Physical description
Dates
online
2015-02-9
Contributors
  • University of Warsaw , Faculty of Management Poland
References
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Document Type
Publication order reference
Identifiers
ISSN
2300-4371
YADDA identifier
bwmeta1.element.desklight-56a725a4-cc66-43ff-a0b2-4dd3e77960ca
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