Systemic Risk and the COVID Challenge in the European Banking Sector

Nicola Borri and Giorgio Di Giorgio

No 2005, Working Papers CASMEF from Dipartimento di Economia e Finanza, LUISS Guido Carli

Abstract: This paper studies the systemic risk contribution of a set of large publicly traded European banks. Over a sample covering the last twenty years and three different crises, we find that all banks in our sample significantly contribute to systemic risk. Moreover, larger banks and banks with a business model more exposed to trading and financial market volatility, contribute more. In the shorter sample characterized by the Covid-19 shock, sovereign default risks significantly affected the systemic risk contribution of all banks. However, the ECB announcement of the Pandemic Emergency Purchasing Programme restored calm in the European banking sector.

Keywords: CoVaR; systemic risk; Covid-19; banking regulation (search for similar items in EconPapers)
JEL-codes: G01 G18 G21 G38 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2020-10
New Economics Papers: this item is included in nep-ban, nep-cba, nep-cfn, nep-eec, nep-fmk, nep-ore and nep-rmg
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Systemic risk and the COVID challenge in the european banking sector (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:lui:casmef:2005

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