Systemic Risk Within and Across the Banking and Insurance Sectors in Times of Stress:A study of Scandinavia

My master’s thesis aims to replicate the study by Schoenmaker, Slijkerman and de Vries (2005) but using different country data and observation period. The aim is to see how the systemic risk measure developed by Schoenmaker et al. fares when we include a geographically smaller region which experienced a financial crisis in the early years of the 1990s and which has felt the effects of the current financial crisis. Also, dead stocks are included in the study not only to avoid selection bias but also to observe whether the systemic risk measure captures dependencies when we are no longer only observing extreme returns as proxies for default events, but when such an event actually takes place. To capture changes in systemic risk, the sample period 1987-2010 is divided into two periods: 1987-1996 and 1997-2010. In addition estimates of systemic risks are also reported for the years 1992-2003 in order to compare with the results of Schoenmaker et al. (2005)