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2021 | OriginalPaper | Buchkapitel

Systemic Risk Dynamics in the EU—A Conditional Capital Shortfall Approach

verfasst von : Cristina Georgiana Zeldea

Erschienen in: Business Revolution in a Digital Era

Verlag: Springer International Publishing

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Abstract

Systemic risk measurement has been a topic of main interest throughout the last years, particularly in the aftermath of the 2008 crisis. This paper addresses systemic risk dynamics in the European Union, during the 2004–2019 interval, focusing on the banking and real estate sectors. We examine the above-mentioned dynamics via daily estimates deriving from a Conditional Capital Shortfall approach. The results we obtain represent, first and foremost, a tool for analysing the dynamics of systemic risk in the targeted financial markets. The banking sector displays specific risk patterns and ranges, that support the assumption of it being a primary source of systemic instability. Systemic risk in the real estate sector runs lower. We find that the crisis period corresponds to an increase in risk in both sectors and notice certain common patterns which suggest potential co-movement episodes.

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Titel: Systemic Risk Dynamics in the EU—A Conditional Capital Shortfall Approach
verfasst von: Cristina Georgiana Zeldea
Verlag: Springer International Publishing
Buch: Business Revolution in a Digital Era
Print ISBN: 978-3-030-59971-3

Electronic ISBN: 978-3-030-59972-0

Copyright-Jahr: 2021
DOI: https://doi.org/10.1007/978-3-030-59972-0_4

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