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The systemic risk of European banks during the financial and sovereign debt crises
Institution:1. Department of Finance, DePaul University, Chicago, IL, USA;2. International Financial Stability Section, Federal Reserve Board of Governors, Washington, D.C., USA;3. Risk Analysis Section, Federal Reserve Board of Governors, Washington, D.C., USA;4. PBC School of Finance, Tsinghua University, Beijing 100083, PR China;1. Department of Finance, DePaul University, Chicago, IL, USA;2. International Financial Stability Section, Federal Reserve Board of Governors, Washington, D.C., USA;3. Risk Analysis Section, Federal Reserve Board of Governors, Washington, D.C., USA;4. PBC School of Finance, Tsinghua University, Beijing 100083, PR China;1. Université de Tunis, Institut Supérieur de Gestion of Tunis, Department of Finance, GEF-2A Laboratory, Tunisia;2. Université de Tunis, Department of Finance, Tunisia;1. Department of Finance, Freiberg University, Freiberg D-09599, Germany;2. Lecturer in Business Economics, Business School, University of Edinburgh, 29 Buccleuch Place, Edinburgh EH8 9JS, UK;1. Universidad Autónoma de Madrid, Ciudad Universitaria de Cantoblanco, 28049, Madrid, Spain;2. Directorate Macro-prudential Policy and Financial Stability, European Central Bank, Sonnemannstrasse 20, Frankfurt, Germany;1. University of Poitiers, CRIEF, 2 rue Jean Carbonnier, 86073 Poitiers, France;2. Univ. Orléans, LEO – UMR 7322, Rue de Blois – BP 26739, 45067 Orléans, France
Abstract:European banks became a source of risk to global financial markets during the financial crisis and attention to the European banking sector increased during the sovereign debt crisis. To measure the systemic risk of European banks, we calculate a distress insurance premium (DIP), which integrates the characteristics of bank size, probability of default, and correlation. Based on this measure, the systemic risk of European banks reached its height in late 2011 around €500 billion. We find that this was largely due to sovereign default risk. The DIP methodology is also used to measure the systemic contribution of individual banks. This approach identifies the large systemically important European banks, but Italian and Spanish banks as a group notably increased in systemic importance during the sample period. Bank-specific fundamentals like capital-asset ratios predict the one-year-ahead systemic risk contributions.
Keywords:Banking systemic risk  European debt crisis  Too-big-to-fail  Leverage  Correlation  Credit default swap  Macroprudential regulation
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