IDEAS home Printed from https://ideas.repec.org/a/fau/fauart/v73y2023i2p106-133.html
   My bibliography  Save this article

Dynamic Conditional Systemic Risk Measures

Author

Listed:
  • Deyan Radev

    (Sofia University, Faculty of Economics and Business Administration)

Abstract

In this paper, we introduce dynamic dependence to the measurement of a number of systemic default risk based on a procedure for a consistent estimation of individual and joint default risk. Focusing on set of univariate and multivariate conditional indicators, our analysis documents a rise in banking systemic fragility in the euro area from the onset of the Subprime Crisis on, with a substantial increase around the First Greek Bailout in May 2010. Our measures also capture significant events in the euro area, such as Mario Draghi’s “whatever-it-takes” speech in mid-2012 and the Cypriot Banking Crisis of 2012-2013. The dynamic dependence versions of our measures provide a richer depiction of conditional default risk in the European banking system and in many cases show very different dynamics to their static counterparts. Our results are robust to different approaches for calculating correlations. These results have important policy implications and add to our understanding of systemic risk of European banks.

Suggested Citation

  • Deyan Radev, 2023. "Dynamic Conditional Systemic Risk Measures," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 73(2), pages 106-133, June.
    • Handle: RePEc:fau:fauart:v:73:y:2023:i:2:p:106-133
    as

    Download full text from publisher

    File URL: https://journal.fsv.cuni.cz/mag/article/show/id/1515
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    banking stability; financial distress; sovereign default; tail risk; contagion;
    All these keywords.

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

    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:fau:fauart:v:73:y:2023:i:2:p:106-133. 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: Natalie Svarcova (email available below). General contact details of provider: https://edirc.repec.org/data/icunicz.html .

    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.