Three ways to improve the systemic risk analysis of the Central and Eastern European region using SRISK and CoVaR

Marta KaraÅ› and Witold Szczepaniak

Journal of Credit Risk

Abstract: This paper proposes three modifications to the calculation of SRISK and CoVaR. These modifications make it possible to apply the two measures to an additional 31 systemically important financial institutions in the Central and Eastern European (CEE) region. They also add information about interconnectedness and complexity, and illuminate risk factors that are endemic to CEE and Western European stock markets. We empirically analyze Bulgaria, Estonia, Czechia, Hungary, Latvia, Lithuania, Poland, Romania and Slovakia in the period from 2006 to 2018. The results confirm increased systemic risk in the years 2008–9 and 2012–13. Systemic risk rankings demonstrate the significant scale of systemic risk relative to gross domestic product for many of the countries under analysis. The results also confirm that systemic risk in the CEE region has the same theoretical properties as it does in advanced economies. This finding underlines that it is necessary to analyze the CEE region using measures of systemic risk that are at least as sophisticated as those used in the most developed countries.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-credit-risk/786474 ... sing-srisk-and-covar (text/html)

Related works:
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:rsk:journ1:7864746

Access Statistics for this article

More articles in Journal of Credit Risk from Journal of Credit Risk
Bibliographic data for series maintained by Thomas Paine ().