IDEAS home Printed from https://ideas.repec.org/a/eee/finsta/v75y2024ics1572308924001244.html
   My bibliography  Save this article

Estimating systemic risk for non-listed Euro-area banks

Author

Listed:
  • Engle, Robert F.
  • Emambakhsh, Tina
  • Manganelli, Simone
  • Parisi, Laura
  • Pizzeghello, Riccardo

Abstract

SRISK is a measure of a firms' systemic risk contribution that is computed using its listed stock market price. SRISK measurement is extended and applied to firms that do not have listed equity. A mapping from balance sheet characteristics to SRISK for listed firms is applied to SRISK for unlisted European banks. The mapping is validated by comparing SRISK measures for unlisted banks with their losses in European bank stress-testing.

Suggested Citation

  • Engle, Robert F. & Emambakhsh, Tina & Manganelli, Simone & Parisi, Laura & Pizzeghello, Riccardo, 2024. "Estimating systemic risk for non-listed Euro-area banks," Journal of Financial Stability, Elsevier, vol. 75(C).
    • Handle: RePEc:eee:finsta:v:75:y:2024:i:c:s1572308924001244
    DOI: 10.1016/j.jfs.2024.101339
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1572308924001244
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.jfs.2024.101339?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Systemic risk; Stress testing; Banks’ balance sheet information content;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finsta:v:75:y:2024:i:c:s1572308924001244. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jfstabil .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.