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Systemic Risk, Contagion and Financial Networks

Author

Listed:
  • Cappiello, Lorenzo
  • Montagna, Mattia
  • Rousová, Linda

Abstract

This special feature proposes a methodology to measure systemic risk as the percentage of banks defaulting simultaneously over a given time horizon for a given confidence level. The framework presented here is applied to euro area banks. It is observed that since the announcement of the comprehensive assessment in October 2013 banks have significantly reshuffled their security portfolios. This has resulted in a decline in the probability of systemic events occurring. JEL Classification: G00

Suggested Citation

  • Cappiello, Lorenzo & Montagna, Mattia & Rousová, Linda, 2015. "Systemic Risk, Contagion and Financial Networks," Financial Stability Review, European Central Bank, vol. 2.
    • Handle: RePEc:ecb:fsrart:2015:0002:3
    Note: 234084
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    File URL: https://www.ecb.europa.eu//pub/pdf/fsr/art/ecb.fsrart201511_03.en.pdf
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    Citations

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    Cited by:

    1. Fei Su & Lili Zhai & Yunyan Zhou & Zixi Zhuang & Feifan Wang, 2024. "Risk contagion in financial markets: A systematic review using bibliometric methods," Australian Economic Papers, Wiley Blackwell, vol. 63(1), pages 163-199, March.

    More about this item

    Keywords

    contagion; financial networks; systemic risk;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General

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