What Kind Of Systemic Risks Do We Face In The European Banking Sector? The Approach Of CoVaR Measure

• Authors: Renata Karkowska
• Languages of publication: EN

Abstracts

EN

We measure a systemic risk faced by European banking sectors using the CoVaR measure. We propose the conditional value-at-risk 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.

Keywords

EN

systemic risk; value at risk; risk spillovers; banking sector; G01; G10; G20; G28; G38

• Publisher: Sciendo
• Journal: Folia Oeconomica Stetinensia
• Year: 2014
• Volume: 14
• Issue: 2
• Pages: 114-124

Dates

published

2014-12-01

received

2014-09-23

accepted

2014-12-01

online

2015-06-03

Contributors

author

Renata Karkowska

• University of Warsaw, Faculty of Management, Szturmowa 1/3, 02-678 Warsaw, Poland

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Identifiers

DOI

10.1515/foli-2015-0017