Modelowanie efektu zarażania ryzykiem systemowym w wybranych  systemach bankowych w Europie

Marta Karaś; Michał Stachura

doi:10.26354/bb.2.3.92.2023

Published : 2023-11-03

Vol. 92 No. 3 (2023)

Modelling the effect of systemic risk contagion in selected banking systems in Europe

Marta Karaś

https://orcid.org/0000-0003-2589-8147

Michał Stachura

https://orcid.org/0000-0002-0115-3522

DOI: https://doi.org/10.26354/bb.2.3.92.2023

Abstract

Systemic contagion measurement is challenging in the European banking sector due to data availability issues and the specific nature of strong ownership ties between parent institutions and their subsidiaries. The paper presents a new approach that allows measuring the contagion effect generated by non-listed systemically important European banks based on their ties with listed – systemically important European banks. This approach is illustrated by an empirical study applying ΔCoVaR to 58 banks in the period 01.2006–04.2023, in which contagion was analyzed for 13 groups of related banks. The proposed approach makes it possible to significantly increase the pool of studied systemically important banks. Notably, it takes into account systemic risk characteristic of both: the mother bank and its subsidiaries, as well as the specificity of turbulence characteristic of each analyzed financial system. Therefore, the method is a useful alternative for regulators and central banks in European countries where using the CoVaR measure - in its classical form, is ineffective.

Keywords:

systemic risk, portfolio-based risk measures, CoVaR, systemically important banks, contagion

JEL Codes

G32, C58, E44

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Karaś, M., & Stachura, M. (2023). Modelling the effect of systemic risk contagion in selected banking systems in Europe. Safe Bank, 92(3), 25–51. https://doi.org/10.26354/bb.2.3.92.2023

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