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Systemic Sovereign Risk in Europe: an MES and CES Approach

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  • Alexandra Popescu
  • Camelia Turcu

Abstract

We transpose the concept of systemic risk measurement used in the financial literature to the sovereign debt crisis. We construct our analysis on two systemic risk measures, the Marginal Expected Shortfall (MES) and the Component Expected Shortfall (CES), that are estimated by a Dynamic Conditional Correlation model (DCC) and by non parametric techniques. We use daily data on government bonds yields 10Y and quarterly sovereign debts over the period 2001-2013 for eleven Eurozone countries. Our results allow us to identify the countries that have the highest contribution to systemic risk and to perform comparisons in terms of countries? riskiness within the Eurozone.

Suggested Citation

  • Alexandra Popescu & Camelia Turcu, 2014. "Systemic Sovereign Risk in Europe: an MES and CES Approach," Revue d'économie politique, Dalloz, vol. 124(6), pages 899-925.
    • Handle: RePEc:cai:repdal:redp_246_0899
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    Cited by:

    1. Paolo Giudici & Laura Parisi, 2016. "CoRisk: measuring systemic risk through default probability contagion," DEM Working Papers Series 116, University of Pavia, Department of Economics and Management.
    2. Paolo Giudici & Laura Parisi, 2017. "Sovereign risk in the Euro area: a multivariate stochastic process approach," Quantitative Finance, Taylor & Francis Journals, vol. 17(12), pages 1995-2008, December.
    3. Henryk Gurgul & Roland Mestel & Robert Syrek, 2017. "MIDAS models in banking sector – systemic risk comparison," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(2), pages 165-181.
    4. Paolo Giudici & Laura Parisi, 2018. "CoRisk: Credit Risk Contagion with Correlation Network Models," Risks, MDPI, vol. 6(3), pages 1-19, September.
    5. Somnath Chatterjee & Andreas Jobst, 2019. "Market-implied systemic risk and shadow capital adequacy," Bank of England working papers 823, Bank of England.
    6. Kurter, Zeynep O., 2022. "How macroeconomic conditions affect systemic risk in the short and long-run?," The Warwick Economics Research Paper Series (TWERPS) 1407, University of Warwick, Department of Economics.
    7. Popescu, Alexandra & Turcu, Camelia, 2017. "Sovereign debt and systemic risk in the eurozone," Economic Modelling, Elsevier, vol. 67(C), pages 275-284.
    8. Paolo Giudici & Laura Parisi, 2015. "Modeling Systemic Risk with Correlated Stochastic Processes," DEM Working Papers Series 110, University of Pavia, Department of Economics and Management.

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