Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/320011 
Year of Publication: 
2020
Series/Report no.: 
CASMEF Working Paper Series No. WP 2020/05
Publisher: 
LUISS Guido Carli, Department of Economics and Finance, Arcelli Centre for Monetary and Financial Studies, Rome
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.
Subjects: 
CoVaR
systemic risk
Covid-19
banking regulation
JEL: 
G01
G18
G21
G38
Document Type: 
Working Paper

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