Systemic Risk in Different Sectors of the European Economy: A CoVaR Approach

This thesis investigates the presence of systemic risk in eight different sectors of the European economy. By using the Conditional Value at Risk (CoVaR) approach to measure systemic risk, it is shown that systemic risk is present in the sectors. Systemic risk has increased for six out of the eight sectors examined in the most recent financial crisis, excluding the technology and telecom sector. These sectors however, show systemic risk after the internet bubble burst. The analysis shows that systemic risk in real sectors of the economy does not have the same size and build-up as the financial sector. Only the utilities sector shows the same systemic risk movement as the financial sector, although in higher magnitude. Furthermore, the results show that there is co-movement between systemic risk in six of the eight sectors examined and systemic risk in the financial sector, excluding the technology and telecom sectors. Author: Charlotte