The Stability of European Financial Institutions between Systemic Risk and Unexpected Shocks: Empirical Study between 2005 and 2024

Ltaifa Monia Ben and Derbali Mohamed Sghaier
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Ltaifa Monia Ben: King Faisal University
Derbali Mohamed Sghaier: Taibah University; Kairouan University

Journal of Economic Integration, 2026, vol. 41, issue 2, 467-491

Abstract: This study examines the stability of European financial institutions through an empirical assessment of systemic risk and unexpected shocks over the period 2005-2024. By mobilizing several advanced measures of systemic risk, such as CoVaR, ΔCoVaR, SRISK and DCC-GARCH, we identify systemic banks and analyze the evolution of their vulnerability over the financial, sovereign and health crises. Our results reveal a marked heterogeneity of systemic risk across institutions and countries. German, French and Italian banks stand out for their significant contribution to European systemic risk, especially during crisis episodes. SRISK highlights growing recapitalization needs in some authorities, while dynamic correlations calculated confirm an intensification of contagion during periods of stress. The identified structural breaks coincide with major macro-financial events, reinforcing the importance of adapted prudential supervision. This research provides a comprehensive analysis of the vulnerabilities of the European banking system and proposes policy implications to strengthen financial resilience.

Keywords: Systemic Risk; Financial Stability; European Financial Institutions; Unexpected Shocks; Financial Regulation (search for similar items in EconPapers)
JEL-codes: E32 E44 F36 G01 G32 (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:022615

DOI: 10.11130/jei.2026001

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