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Systemic Risk in Selected Countries of Western and Central Europe

In: Contemporary Trends and Challenges in Finance

Author

Listed:
  • Marta Karaś

    (Wrocław University of Economics)

  • Witold Szczepaniak

    (Wrocław University of Economics)

Abstract

The paper presents the empirical results for systemic risk measured with self-modified quantile-based models: Expected Shortfall, Long Run Expected Shortfall, SRISK, and Delta CoVaR. We model each financial system as a set of unequally weighted Systemically Important Financial Institutions. Systemic risk is understood as the risk of disruptions to this system that would have significant impact on its functioning. Sample countries include Germany and the countries of Central and South-Eastern Europe: Poland, Slovakia, Hungary, Romania, and Bulgaria. The 13-year horizon of the study covers the global financial crisis, the public debt crisis in Europe, and the following economic stagnation. The results show a variation in the levels of risk in the same sub-periods for different countries. We also demonstrate that systemic risk materialized with similar strength in the developing European countries as in developed Germany.

Suggested Citation

  • Marta Karaś & Witold Szczepaniak, 2021. "Systemic Risk in Selected Countries of Western and Central Europe," Springer Proceedings in Business and Economics, in: Krzysztof Jajuga & Hermann Locarek-Junge & Lucjan T. Orlowski & Karsten Staehr (ed.), Contemporary Trends and Challenges in Finance, pages 169-185, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-73667-5_10
    DOI: 10.1007/978-3-030-73667-5_10
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    More about this item

    Keywords

    Systemic risk; Global financial crisis; Emerging financial systems;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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