Tail risk emanating from troubled European banking sectors

被引：0

作者：

Javed, Farrukh ^{[1
]}

Sabzevari, Hassan ^{[2
]}

Virk, Nader ^{[3
]}

机构：

[1] Orebro Univ, Sch Business Stat, S-70281 Orebro, Sweden

[2] Euroclear Bank, 1 Blvd Roi Albert II, B-1210 Brussels, Belgium

[3] Plymouth Business Sch, Plymouth PL4 8AA, Devon, England

来源：

FINANCE RESEARCH LETTERS | 2021年 / 43卷

关键词：

Systemic risk; CoVaR; Quantile regression; DCC; Correlation;

D O I：

10.1016/j.frl.2021.101952

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The spillover risk and systemic risk of the troubled banking sectors of Greece, Ireland, Italy, Portugal and Spain (GIIPS) for the rest of the European and the US banking sector are investigated using the conditional value-at-risk (CoVaR) framework. Our results show that the CoVaR estimates are sensitive to the choice of static and dynamic parametrization of volatility and pairwisecorrelations. Nevertheless, even the conservative estimates for CoVaR and changes in it display that the magnitude of these risks, originating from GIIPS countries, is large. These risks affect banking of large European and the US banking sectors more than the rest.

引用

页数：6

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