Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 20, 2017 erstellt
Beschreibung:
Since the 2008 global financial crisis (GFC) several systemic risk measures (SRMs) have gained traction in the literature. This paper examines whether Delta-CoVaR (∆CoVaR) is relevant in the context of European banks and compares risk rankings against those found using marginal expected shortfall (MES). The analysis reveals that a cluster of large French banks is the principal contributor to financial system risk, if measured by ∆CoVaR. When the direction of risk flow is reversed, i.e. from the system to the institution (via MES), a second cluster of Greek banks would be most affected by a large and systemic financial shock. The analysis reveals that future realizations of systemic risk are strongly associated with institution size, maturity mismatch, non-performing loans and non-interest-to-interest-income ratios. However, in certain cases, the relationship depends upon the systemic risk measure used. For example, forward bank leverage appears correlated with MES but not with ∆CoVaR.The findings will help verify OSII rankings and identify how bank management may contribute to systemic risk via the investment and funding decisions they routinely make