SYSTEMIC RISK CAUSED BY ROMANIAN FINANCIAL INTERMEDIARIES DURING FINANCIAL CRISIS: A COVAR APPROACH

Dumitru-Cristian Oanea () and Gabriela-Victoria Anghelache ()
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Dumitru-Cristian Oanea: Bucharest University of Economic Studies, Bucharest, Romania
Gabriela-Victoria Anghelache: Bucharest University of Economic Studies, Bucharest, Romania

Review of Economic and Business Studies, 2014, issue 14, 171-178

Abstract: Crisis is a normal situation, based on economic theory regarding the economic stages: recession and expansion. But sometimes, these crises are more severe and the negative effects are felt harder by all financial and banking institutions. The 2008 financial crisis is an example that had a high impact on financial markets volatility. During that period, many financial institutions have recorded significant losses. Therefore, this paper aims to estimate the effects of contagion between Romanian financial intermediaries, more exactly the five financial investments closed funds during the financial crisis period, by using the CoVaR methodology. In order to achieve this, we will analyse the systemic risk contribution of the financial investment funds which are publicly listed at Bucharest Stock Exchange for the period 2008-2013. More precisely, we selected the following financial investment funds: SIF 1 – Banat Crisana, SIF 2 – Moldova, SIF 4 – Muntenia, SIF 5 – Oltenia and SIF 3 – Transilvania. Motivation for choosing this topic is represented by the fact that there is little research on systemic risk in the Romanian financial sector. This research will help us identify the financial investment fund with the most risky investment strategy and causing the highest contribution to systemic risk of the financial sector.

Keywords: correlation; financial crisis; financial investment fund; systemic risk; CoVaR; Value at Risk (search for similar items in EconPapers)
JEL-codes: D81 G32 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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