Systemic risk of European institutions: estimation and ranking by Marginal Expected Shortfall

Abdelkader Derbali (1) , Slaheddine Hallara (1)

1 Institut Supérieur de Gestion Sousse

The task of processing a systemic event and its negative externalities requires approaches to measure systemic risks and break it down into contributions of different institutions. The objective of this paper is to assess systemic risk in European banks during the period following the 2007 financial crisis. To do so, we estimated the systemic risk of a sample of 281 European institutions from January 01, 2006 to December 31, 2012. We used the Marginal Expected Shortfall (MES) to measure systemic risk. The results showed that the total systemic risk supported by European banks is very high. Moreover, the contribution of financial institutions in the risk of their system is very important. This prompted the international authorities to intervene, as the case of the countries of the Euro zone, where the IMF, the ECB and the WB intervened but lead to a permanent solution to the accumulation of systemic risk.

Mots clés: Systemic risk; MES; euro zone; DECO-GARCH

Domaines: Économie et finance quantitative [q-fin]

Abdelkader Derbali, Slaheddine Hallara. Systemic risk of European institutions: estimation and ranking by Marginal Expected Shortfall. Research in International Business and Finance, 2016, 37, pp.113-134. ⟨10.1016/j.ribaf.2015.10.013⟩. ⟨hal-01696000⟩