 What Kind Of Systemic Risks Do We Face In The European Banking Sector? The Approach Of CoVaR MeasureFolia Oeconomica Stetinensia, 2014, vol. 14, issue 2, 114-124 Abstract: We measure a systemic risk faced by European banking sectors using the CoVaR measure. We propose the conditional value-at-risk for measuring a spillover risk which demonstrates the bilateral relation between the tail risks of two financial institutions. The aim of the study is to estimate the contribution systemic risk of the bank i in the analyzed banking sector of a country in conditions of its insolvency. The study included commercial banks from 8 emerging markets from Europe, which gave a total of 40 banks, traded on the public market, which provided a market valuation of the bank’s capital. The conclusions are that the CoVaR seems to be a better measure for systemic risk in the banking sector than the VaR, which is more individual. And banks in developing countries in Europe do not provide significant risk for the banking sector as a whole. But it must be taken into account that some individuals that may find objectionable. Our results hence tend to a practical use of the CoVaR for supervisory purposes. Keywords: systemic risk; value at risk; risk spillovers; banking sector (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:vrs:foeste:v:14:y:2014:i:2:p:114-124:n:17 Access Statistics for this article Folia Oeconomica Stetinensia is currently edited by Waldemar Tarczyński More articles in Folia Oeconomica Stetinensia from Sciendo |
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