Estimating Systematic Risk for Non-Listed European Banks

Alin Marius Andries and Steven Ongena
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Alin Marius Andries: Alexandru Ioan Cuza University of Iasi; Romanian Academy - Institute for Economic Forecasting
Steven Ongena: University of Zurich - Department Finance; Swiss Finance Institute; KU Leuven; NTNU Business School; Centre for Economic Policy Research (CEPR)

No 26-70, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: SRISK, one of the most widely used market-based measure of a bank's contribution to systemic risk, cannot be computed for institutions without traded equity, which is the case for roughly 90% of European banks. We estimate a mapping from balance-sheet characteristics to SRISK on a panel of listed European banks over 2010-2024 and apply it to 1,275 non-listed banks inside and outside the euro area. Bank size is positively associated with systemic risk, while capitalisation and profitability are negatively associated with it, the latter non-linearly. We compare a direct specification, in which SRISK is regressed on accounting variables, with an indirect one, in which market capitalisation and the dynamic conditional beta are estimated first. The estimates are stable across sub-periods, alternative regressors, out-of-sample splits and the replacement of SRISK by the Marginal Expected Shortfall. As external validation, we compare the implied within-country rankings with the systemically important institutions notified by national authorities to the European Systemic Risk Board; the average rank-biased overlap is 0.55-0.58 and exceeds 0.75 in Spain, Italy and Malta across all reported values of p, and in Czechia and France at p=0.7. Conditional on fundamentals, euro-area membership carries no premium in expected capital shortfall.

Keywords: systemic risk; SRISK; financial stability; non-listed banks; European banking system (search for similar items in EconPapers)
JEL-codes: G01 G21 G28 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2026-10, Revised 2026-10
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