Banking network structure and transnational systemic risk contagion—The case of the European Union

Lingfeng Song and Yinsainan Zhang

Finance Research Letters, 2021, vol. 39, issue C

Abstract: This paper combines systemic contingent claims analysis with the conditional value-at-risk to construct a financial risk network, thereby providing a new method to measure the cross-risk of the banking sector among different countries. We apply this to a sample of listed banks in the European Union over the period 2007–2018. And we find that systemic risk is caused by the inherent and cross- risk. Cross- risk among countries is the dominant factor affecting systemic risk during the crisis period. In addition, the influence mechanism of risk network on the cross-risk exhibits asymmetry and displays the characteristic of “robust-yet-fragile”.

Keywords: Network structure; Inherent risk; Cross-risk; Systemic contingent claims analysis (search for similar items in EconPapers)
JEL-codes: C15 C22 G21 G28 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:39:y:2021:i:c:s154461232030636x

DOI: 10.1016/j.frl.2020.101660

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