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The impact of war in Ukraine on market and credit risk: A case study of EuroStoxx companies

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  • Cecilia Téllez Valle
  • Margarita Martín García
  • José Luis Martín Marín

Abstract

In this article, we explore the impact of the beginning of the war between Ukraine and Russia on both the market and credit risk of large European companies to find out which were more sensitive and if the reactions varied by sector. We sampled from companies included in the EuroStoxx 600 index and those whose CDS can be found in the iTraxx Europe index. Then we applied event study methodology. The results indicate that the impact on risk is significant, with banking as one of the industries' most negatively affected or some energy companies as positively affected. It is also shown that in most market risk cases, the levels of CAR are negative, and in all credit risk cases, the CAR is positive.

Suggested Citation

  • Cecilia Téllez Valle & Margarita Martín García & José Luis Martín Marín, 2026. "The impact of war in Ukraine on market and credit risk: A case study of EuroStoxx companies," Review of Financial Economics, John Wiley & Sons, vol. 44(1), January.
    • Handle: RePEc:wly:revfec:v:44:y:2026:i:1:n:e70028
    DOI: 10.1002/rfe.70028
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