Size does matter, as well as sector activities: Systemic Risk Sensitivities of financial firms in the U.S. and European Stock Markets

Philippe Madiès (), Mourey Mathis and Ollivier Taramasco ()
Additional contact information
Ollivier Taramasco: Grenoble INP ENSIMAG - École nationale supérieure d'informatique et de mathématiques appliquées - UGA - Université Grenoble Alpes - Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology - UGA - Université Grenoble Alpes, CERAG - Centre d'études et de recherches appliquées à la gestion - UGA - Université Grenoble Alpes

Post-Print from HAL

Abstract: This paper presents a sectoral analysis of systemic risk. We consider a comprehensive sample of European and U.S. financial institutions separated into three sectors —banks, insurers, and asset managers— and use three complementary systemic risk indicators to produce Systemic Risk Profiles. We show that the type of systemic risk varies between sectors and depends on firms' size. Furthermore, large corporations appear to build up common exposure at the beginning of a crisis and are the most exposed to extreme losses. Smaller institutions are highly exposed to illiquidity, turning them into a channel of contagion at the end of the crisis.

Keywords: Systemic Risk; Prudential Regulation; Systemically Important Financial Institutions; CoVaR; Granger Causality; ILLIQ; Interconnectedness; GARCH (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Published in Finance, 2024, 45 (3), pp.114-159

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hal:journl:hal-04784474

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().