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Systemic Risk Caused By Romanian Financial Intermediaries During Financial Crisis: A Covar Approach

Author

Listed:
  • Dumitru-Cristian OANEA

    (Bucharest University of Economic Studies, Bucharest, Romania)

  • Gabriela-Victoria ANGHELACHE

    (Bucharest University of Economic Studies, Bucharest, Romania)

Abstract

Crisis is a normal situation, based on economic theory regarding the economic stages: recession and expansion. But sometimes, these crises are more severe and the negative effects are felt harder by all financial and banking institutions. The 2008 financial crisis is an example that had a high impact on financial markets volatility. During that period, many financial institutions have recorded significant losses. Therefore, this paper aims to estimate the effects of contagion between Romanian financial intermediaries, more exactly the five financial investments closed funds during the financial crisis period, by using the CoVaR methodology. In order to achieve this, we will analyse the systemic risk contribution of the financial investment funds which are publicly listed at Bucharest Stock Exchange for the period 2008-2013. More precisely, we selected the following financial investment funds: SIF 1 – Banat Crisana, SIF 2 – Moldova, SIF 4 – Muntenia, SIF 5 – Oltenia and SIF 3 – Transilvania. Motivation for choosing this topic is represented by the fact that there is little research on systemic risk in the Romanian financial sector. This research will help us identify the financial investment fund with the most risky investment strategy and causing the highest contribution to systemic risk of the financial sector.

Suggested Citation

  • Dumitru-Cristian OANEA & Gabriela-Victoria ANGHELACHE, 2014. "Systemic Risk Caused By Romanian Financial Intermediaries During Financial Crisis: A Covar Approach," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 14, pages 171-178, December.
    • Handle: RePEc:aic:revebs:y:2014:d:14:oanead
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    References listed on IDEAS

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    1. López-Espinosa, Germán & Moreno, Antonio & Rubia, Antonio & Valderrama, Laura, 2012. "Short-term wholesale funding and systemic risk: A global CoVaR approach," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3150-3162.
    2. Dumitru Cristian OANEA & Victoria Gabriela ANGHELACHE & Bogdan ZUGRAVU, 2013. "Econometric Model for Risk Forecasting," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 61(2), pages 123-127, May.
    3. Bogdan ZUGRAVU & Dumitru Cristian OANEA & Victoria Gabriela ANGHELACHE, 2013. "Analysis Based on the Risk Metrics Model," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 61(2), pages 145-154, May.
    4. Christoffersen, Peter F, 1998. "Evaluating Interval Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-862, November.
    5. Robert Sollis, 2009. "Value at risk: a critical overview," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 17(4), pages 398-414, November.
    6. Victoria Gabriela ANGHELACHE & Dumitru Cristian OANEA & Bogdan ZUGRAVU, 2013. "General Aspects Regarding the Methodology for Prediction Risk," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 61(2), pages 66-72, May.
    7. International Monetary Fund, 2012. "Short-Term Wholesale Funding and Systemic Risk: A Global Covar Approach," IMF Working Papers 2012/046, International Monetary Fund.
    8. Viral Acharya & Robert Engle & Matthew Richardson, 2012. "Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks," American Economic Review, American Economic Association, vol. 102(3), pages 59-64, May.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Gabriela-Victoria Anghelache & Dumitru-Cristian Oanea, 2016. "Romanian Commercial Banks’ Systemic Risk and Its Determinants: A CoVAR Approach," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 6(3), pages 96-109, July.

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    More about this item

    Keywords

    correlation; financial crisis; financial investment fund; systemic risk; CoVaR; Value at Risk;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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