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

Renata Karkowska

No 12015, Faculty of Management Working Paper Series from University of Warsaw, Faculty of Management

Abstract: 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.

Keywords: Systemic Risk; Value at Risk; Risk Spillovers; Banking Sector (search for similar items in EconPapers)
JEL-codes: G01 G10 G20 G28 G38 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2015-02
New Economics Papers: this item is included in nep-cba, nep-eec and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.wz.uw.edu.pl/portaleFiles/5630-Faculty% ... _v._17_Feb_2015a.pdf First version, 2015 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.wz.uw.edu.pl/portaleFiles/5630-Faculty%20of%20M/WP/FMWP_2015_Karkowska_v._17_Feb_2015a.pdf [301 Moved Permanently]--> http://wz.uw.edu.pl/portaleFiles/5630-Faculty%20of%20M/WP/FMWP_2015_Karkowska_v._17_Feb_2015a.pdf)

Related works:
Journal Article: What Kind Of Systemic Risks Do We Face In The European Banking Sector? The Approach Of CoVaR Measure (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sgm:fmuwwp:12015

Access Statistics for this paper

More papers in Faculty of Management Working Paper Series from University of Warsaw, Faculty of Management Contact information at EDIRC.
Bibliographic data for series maintained by ().