Estimating systemic risk for non-listed Euro-area banks

Robert Engle, Tina Emambakhsh, Simone Manganelli, Laura Parisi and Riccardo Pizzeghello

Journal of Financial Stability, 2024, vol. 75, issue C

Abstract: SRISK is a measure of a firms' systemic risk contribution that is computed using its listed stock market price. SRISK measurement is extended and applied to firms that do not have listed equity. A mapping from balance sheet characteristics to SRISK for listed firms is applied to SRISK for unlisted European banks. The mapping is validated by comparing SRISK measures for unlisted banks with their losses in European bank stress-testing.

Keywords: Systemic risk; Stress testing; Banks’ balance sheet information content (search for similar items in EconPapers)
JEL-codes: G12 G21 G28 (search for similar items in EconPapers)
Date: 2024
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Working Paper: Estimating systemic risk for non-listed euro-area banks (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finsta:v:75:y:2024:i:c:s1572308924001244

DOI: 10.1016/j.jfs.2024.101339

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