Systemic Risk in Europe

Robert Engle, Eric Jondeau and Michael Rockinger ()

No 12-45, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: Systemic risk may be defined as the propensity of a financial institution to be undercapitalized when the financial system as a whole is undercapitalized. In this paper, we investigate the case of non-U.S. institutions, with several factors explaining the dynamics of financial firms returns and with asynchronicity of time zones. We apply this methodology to the 196 largest European financial firms and estimate their systemic risk over the 2000-2012 period. We find that, for certain countries, the cost for the taxpayer to rescue the riskiest domestic banks is so high that some banks might be considered too big to be saved.

Keywords: Systemic Risk; Marginal Expected Shortfall; Multi-factor Model (search for similar items in EconPapers)
JEL-codes: C32 G01 G20 G28 G32 (search for similar items in EconPapers)
Pages: 55 pages
Date: 2012-12
New Economics Papers: this item is included in nep-ban, nep-cba, nep-cfn and nep-rmg
References: Add references at CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://ssrn.com/abstract=2192536 (application/pdf)

Related works:
Journal Article: Systemic Risk in Europe (2015)
Chapter: Systemic Risk in Europe (2014)
Journal Article: Systemic Risk in Europe (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1245

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