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Size does matter, as well as sector activities: Systemic Risk Sensitivities of financial firms in the U.S. and European Stock Markets

Author

Listed:
  • Philippe Madiès
  • Mourey Mathis
  • Ollivier Taramasco

    (Grenoble INP ENSIMAG - École nationale supérieure d'informatique et de mathématiques appliquées - UGA - Université Grenoble Alpes - Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology - UGA - Université Grenoble Alpes, CERAG - Centre d'études et de recherches appliquées à la gestion - UGA - Université Grenoble Alpes)

Abstract

This paper presents a sectoral analysis of systemic risk. We consider a comprehensive sample of European and U.S. financial institutions separated into three sectors —banks, insurers, and asset managers— and use three complementary systemic risk indicators to produce Systemic Risk Profiles. We show that the type of systemic risk varies between sectors and depends on firms' size. Furthermore, large corporations appear to build up common exposure at the beginning of a crisis and are the most exposed to extreme losses. Smaller institutions are highly exposed to illiquidity, turning them into a channel of contagion at the end of the crisis.

Suggested Citation

  • Philippe Madiès & Mourey Mathis & Ollivier Taramasco, 2024. "Size does matter, as well as sector activities: Systemic Risk Sensitivities of financial firms in the U.S. and European Stock Markets," Post-Print hal-04784474, HAL.
    • Handle: RePEc:hal:journl:hal-04784474
    as

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