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The Stability of European Financial Institutions between Systemic Risk and Unexpected Shocks: Empirical Study between 2005 and 2024

Author

Listed:
  • Ltaifa Monia Ben

    (King Faisal University)

  • Derbali Mohamed Sghaier

    (Taibah University; Kairouan University)

Abstract

This study examines the stability of European financial institutions through an empirical assessment of systemic risk and unexpected shocks over the period 2005-2024. By mobilizing several advanced measures of systemic risk, such as CoVaR, ΔCoVaR, SRISK and DCC-GARCH, we identify systemic banks and analyze the evolution of their vulnerability over the financial, sovereign and health crises. Our results reveal a marked heterogeneity of systemic risk across institutions and countries. German, French and Italian banks stand out for their significant contribution to European systemic risk, especially during crisis episodes. SRISK highlights growing recapitalization needs in some authorities, while dynamic correlations calculated confirm an intensification of contagion during periods of stress. The identified structural breaks coincide with major macro-financial events, reinforcing the importance of adapted prudential supervision. This research provides a comprehensive analysis of the vulnerabilities of the European banking system and proposes policy implications to strengthen financial resilience.

Suggested Citation

  • Ltaifa Monia Ben & Derbali Mohamed Sghaier, 2026. "The Stability of European Financial Institutions between Systemic Risk and Unexpected Shocks: Empirical Study between 2005 and 2024," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 41(2), pages 273-297, June.
    • Handle: RePEc:ris:integr:022615
    DOI: 10.11130/jei.2026001
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    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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