Abstract

http://ssrn.com/abstract=2192536
 
 

Citations (5)



 


 



Systemic Risk in Europe


Robert F. Engle


New York University - Leonard N. Stern School of Business - Department of Economics; New York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER)

Eric Jondeau


University of Lausanne; Swiss Finance Institute

Michael Rockinger


University of Lausanne - School of Economics and Business Administration (HEC-Lausanne); Centre for Economic Policy Research (CEPR); Swiss Finance Institute

February 1, 2014

Forthcoming in the Review of Finance

Abstract:     
Systemic risk may be defined as the propensity of a financial institution to be undercapitalized when the financial system as a whole is undercapitalized. In this paper, we investigate the case of non-U.S. institutions, with several factors explaining the dynamics of financial firms returns and with asynchronicity of time zones. We apply this methodology to the 196 largest European financial firms and estimate their systemic risk over the 2000-2012 period. We find that, for certain countries, the cost for the taxpayer to rescue the riskiest domestic banks is so high that some banks might be considered too big to be saved.

Number of Pages in PDF File: 55

Keywords: Systemic Risk, Marginal Expected Shortfall, Multi-factor Model

JEL Classification: C32, G01,G20, G28, G32

Accepted Paper Series


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Date posted: December 22, 2012 ; Last revised: February 22, 2014

Suggested Citation

Engle, Robert F. and Jondeau, Eric and Rockinger, Michael, Systemic Risk in Europe (February 1, 2014). Forthcoming in the Review of Finance. Available at SSRN: http://ssrn.com/abstract=2192536 or http://dx.doi.org/10.2139/ssrn.2192536

Contact Information

Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics ( email )
269 Mercer Street
New York, NY 10003
United States
New York University (NYU) - Department of Finance
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Eric Jondeau (Contact Author)
University of Lausanne ( email )
Faculty of Business and Economics (HEC Lausanne)
Extranef 232
1012 Lausanne
Switzerland
+41 21 692 33 49 (Phone)
HOME PAGE: http://www.hec.unil.ch/ejondeau/
Swiss Finance Institute ( email )
40, Boulevard du Pont-d'Arve
Case Postale 3
1211 Geneva 4, CH-6900
Switzerland
+41 21 692 33 49 (Phone)
Georg Michael Rockinger
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) ( email )
Lausanne, 1018
Switzerland
+41 21 728 3348 (Phone)
+41+21 692 3435 (Fax)
HOME PAGE: http://www.hec.unil.ch/mrockinger
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
Swiss Finance Institute
40, Boulevard du Pont-d'Arve
Case Postale 3
1211 Geneva 4, CH-6900
Switzerland
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