<abstract xmlns="http://www.w3.org/1999/xhtml"><p>We measure a systemic risk faced by European banking sectors using the <italic>CoVaR</italic> measure. We propose the conditional value-at-risk for measuring a spillover risk which demonstrates the bilateral relation between the tail risks of two financial institutions. The aim of the study is to estimate the contribution systemic risk of the bank <italic>i</italic> in the analyzed banking sector of a country in conditions of its insolvency. The study included commercial banks from 8 emerging markets from Europe, which gave a total of 40 banks, traded on the public market, which provided a market valuation of the bank’s capital. The conclusions are that the <italic>CoVaR</italic> seems to be a better measure for systemic risk in the banking sector than the <italic>VaR</italic>, which is more individual. And banks in developing countries in Europe do not provide significant risk for the banking sector as a whole. But it must be taken into account that some individuals that may find objectionable. Our results hence tend to a practical use of the <italic>CoVaR</italic> for supervisory purposes.</p></abstract>

We measure a systemic risk faced by European banking sectors using the CoVaR measure. We propose the conditional value-at-risk for measuring a spillover risk which demonstrates the bilateral relation between the tail risks of two financial institutions. The aim of the study is to estimate the contribution systemic risk of the bank i in the analyzed banking sector of a country in conditions of its insolvency. The study included commercial banks from 8 emerging markets from Europe, which gave a total of 40 banks, traded on the public market, which provided a market valuation of the bank’s capital. The conclusions are that the CoVaR seems to be a better measure for systemic risk in the banking sector than the VaR, which is more individual. And banks in developing countries in Europe do not provide significant risk for the banking sector as a whole. But it must be taken into account that some individuals that may find objectionable. Our results hence tend to a practical use of the CoVaR for supervisory purposes.

What Kind Of Systemic Risks Do We Face In The European Banking Sector? The Approach Of CoVaR Measure

University of Warsaw, Faculty of Management, Szturmowa 1/3, 02-678 Warsaw, Poland

Folia Oeconomica Stetinensia

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

We measure a systemic risk faced by European banking sectors using the CoVaR measure. We propose the conditional value-at-risk for measuring a spillover risk...

What Kind Of Systemic Risks Do We Face In The European Banking Sector? The Approach Of CoVaR Measure

Publié en ligne: 03 juin 2015

Pages: 114 - 124

Reçu: 23 sept. 2014

Accepté: 01 déc. 2014

DOI: https://doi.org/10.1515/foli-2015-0017

Mots clés
systemic risk, value at risk, risk spillovers, banking sector

© University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

What Kind Of Systemic Risks Do We Face In The European Banking Sector? The Approach Of CoVaR Measure

Publié en ligne: 03 juin 2015

Pages: 114 - 124

Reçu: 23 sept. 2014

Accepté: 01 déc. 2014

DOI: https://doi.org/10.1515/foli-2015-0017

Mots cléssystemic risk, value at risk, risk spillovers, banking sector

© University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Mots clés
systemic risk, value at risk, risk spillovers, banking sector