Systemic Risk in Europe

This research investigates the development of systemic risk in Europe for the period 1995-2015 based on the CoVaR measure. The contribution to systemic risk has been determined for 250 financial institutions, providing valuable information for policy-makers and regulators in Europe about the largest contributing institutions. A within-country systemic risk analysis for France, Germany, Switzerland and the United-Kingdom illustrates that the CoVaR measure can also be helpful for questions concerning national systemic risk. The time-varying application of the CoVaR method shows that systemic risk does not increase structurally for the period of 1995-2015, but that it does increase during crisis periods, underscoring the need for containment of systemic risk. Next to this, results indicate that further analysis on systemic risk in Europe is necessary to determine which countries contribute the most to European systemic risk