Journal of Banking & Finance Vol. 140 2022
Systemic risk and the COVID challenge in the european banking sector
open access
Abstract
This paper studies the systemic risk contribution of a set of large publicly traded European banks. Over a sample covering the last twenty years and three different crises, we find that all banks in our sample significantly contribute to systemic risk. Moreover, larger banks and banks with a business model more exposed to trading and financial market volatility, contribute more. In the shorter sample characterized by the Covid-19 shock, sovereign default risks significantly affected the systemic risk contribution of all banks. However, the ECB announcement of the Pandemic Emergency Purchasing Programme restored calm in the European banking sector.
- DOI
- 10.1016/j.jbankfin.2021.106073
- Volume
- 140
- Pages
- 106073
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib