Systemic Risk Dynamics in the EU—A Conditional Capital Shortfall Approach

Cristina Zeldea

A chapter in Business Revolution in a Digital Era, 2021, pp 43-53 from Springer

Abstract: Abstract Systemic risk measurement has been a topic of main interest throughout the last years, particularly in the aftermath of the 2008 crisis. This paper addresses systemic risk dynamics in the European Union, during the 2004–2019 interval, focusing on the banking and real estate sectors. We examine the above-mentioned dynamics via daily estimates deriving from a Conditional Capital Shortfall approach. The results we obtain represent, first and foremost, a tool for analysing the dynamics of systemic risk in the targeted financial markets. The banking sector displays specific risk patterns and ranges, that support the assumption of it being a primary source of systemic instability. Systemic risk in the real estate sector runs lower. We find that the crisis period corresponds to an increase in risk in both sectors and notice certain common patterns which suggest potential co-movement episodes.

Keywords: Systemic risk; Banking system; Real estate; Conditional capital shortfall; European Union (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-59972-0_4

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DOI: 10.1007/978-3-030-59972-0_4

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