Assessment of Systemic Risk in the Banking Sector of the Eurozone in the Post-Crisis Period Using the CoVaR Model

Student: Tikhonov Andrey

Faculty: Faculty of World Economy and International Affairs

Educational Programme: World Economy (Bachelor)

Final Grade: 9

Year of Graduation: 2020

The banking sector of the Eurozone is one of the most important in the global financial system and being able to correctly assess its stability is crucial for prevention of severe economic downturns. However, this task is rendered difficult by the inconsistency of interpretation of systemic risk and the prevalence of outdated methods in the regulatory frameworks. This study aims at furthering the research on the levels systemic risk present in the banking sector of the Eurozone today. This is achieved by applying the successful CoVaR (codependent value-at-risk) methodology to the dataset of 27 large publicly traded European financial institutions. Data was collected through the TradingView database. The results show that the aggregate level of systemic risk in the Eurozone today is on par with the 2005 level.

Full text (added May 14, 2020)

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