Using a broad set of news reports about the Greek sovereign crisis, we tested for the impact of the troika bailout programs on the banking, financial, and real economic sectors of the Athens Stock Exchange (ASE). Our results reveal that the troika’s actions caused a shift in the systematic risk of firms in all sectors, suggesting that these actions failed to prevent the financial crisis from turning into a real crisis. The actions of the Greek Government only significantly increased the systematic risk for value banking stocks, most likely because established banking firms in Greece hold large amounts of Greek sovereign debt. We also discuss the implications of our findings.

Multi-asset class, multimarket central counterparties (CCPs) are becoming less uncommon as a result of merges between specialized (single-asset class, single market) CCPs and market demands for greater capital efficiency. Yet, traditional CCP risk management models often lack the necessary sophistication to estimate potential losses relative to the closeout process of a defaulter’s portfolio in a multi-asset class, multimarket environment. As a result, multi-asset class, multimarket CCPs usually rely on a simplified silo approach for risk calculation which not only fails to deliver efficiency, but may also increase systemic risk. The CORE (Closeout Risk Evaluation) approach, on the other hand, provides conceptual and mathematical tools necessary for robust and efficient central counterparty risk evaluation in multi-asset class and multimarket environments, acknowledging the portfolio dynamics involved in the closeout process as well as important “real life” market frictions.