Systemic risk and the COVID challenge in the european banking sector

Nicola Borri and Giorgio di Giorgio

Journal of Banking & Finance, 2022, vol. 140, issue C

Abstract: This paper studies the systemic risk contribution of a set of large publicly traded European banks. Over a sample covering the last twenty years and three different crises, we find that all banks in our sample significantly contribute to systemic risk. Moreover, larger banks and banks with a business model more exposed to trading and financial market volatility, contribute more. In the shorter sample characterized by the Covid-19 shock, sovereign default risks significantly affected the systemic risk contribution of all banks. However, the ECB announcement of the Pandemic Emergency Purchasing Programme restored calm in the European banking sector.

Keywords: Covar; Systemic risk; Covid-19; Banking regulation (search for similar items in EconPapers)
JEL-codes: G01 G18 G21 G38 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25)

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Related works:
Working Paper: Systemic Risk and the COVID Challenge in the European Banking Sector (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426621000315

DOI: 10.1016/j.jbankfin.2021.106073

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