Systemic Risk in Selected Countries of Western and Central Europe

Marta Karaś () and Witold Szczepaniak
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Marta Karaś: Wrocław University of Economics
Witold Szczepaniak: Wrocław University of Economics

A chapter in Contemporary Trends and Challenges in Finance, 2021, pp 169-185 from Springer

Abstract: Abstract The paper presents the empirical results for systemic risk measured with self-modified quantile-based models: Expected Shortfall, Long Run Expected Shortfall, SRISK, and Delta CoVaR. We model each financial system as a set of unequally weighted Systemically Important Financial Institutions. Systemic risk is understood as the risk of disruptions to this system that would have significant impact on its functioning. Sample countries include Germany and the countries of Central and South-Eastern Europe: Poland, Slovakia, Hungary, Romania, and Bulgaria. The 13-year horizon of the study covers the global financial crisis, the public debt crisis in Europe, and the following economic stagnation. The results show a variation in the levels of risk in the same sub-periods for different countries. We also demonstrate that systemic risk materialized with similar strength in the developing European countries as in developed Germany.

Keywords: Systemic risk; Global financial crisis; Emerging financial systems (search for similar items in EconPapers)
JEL-codes: C58 E44 E58 G01 G21 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-73667-5_10

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DOI: 10.1007/978-3-030-73667-5_10

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