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Systemic Risk Dynamics in the EU—A Conditional Capital Shortfall Approach

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Business Revolution in a Digital Era

Part of the book series: Springer Proceedings in Business and Economics ((SPBE))

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Abstract

Systemic risk measurement has been a topic of main interest throughout the last years, particularly in the aftermath of the 2008 crisis. This paper addresses systemic risk dynamics in the European Union, during the 2004–2019 interval, focusing on the banking and real estate sectors. We examine the above-mentioned dynamics via daily estimates deriving from a Conditional Capital Shortfall approach. The results we obtain represent, first and foremost, a tool for analysing the dynamics of systemic risk in the targeted financial markets. The banking sector displays specific risk patterns and ranges, that support the assumption of it being a primary source of systemic instability. Systemic risk in the real estate sector runs lower. We find that the crisis period corresponds to an increase in risk in both sectors and notice certain common patterns which suggest potential co-movement episodes.

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Author information

Authors and Affiliations

  1. Bucharest University of Economic Studies, 010374, Bucharest, Romania

    Cristina Georgiana Zeldea

  2. Institute for World Economy, Romanian Academy, 050711, Bucharest, Romania

    Cristina Georgiana Zeldea

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  1. Cristina Georgiana Zeldea
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Correspondence to Cristina Georgiana Zeldea .

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Editors and Affiliations

  1. Bucharest University of Economic Studies, Bucharest, Romania

    Alina Mihaela Dima

  2. Dipartimento di Management, Sapienza University of Rome, Rome, Italy

    Fabrizio D'Ascenzo

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Zeldea, C.G. (2021). Systemic Risk Dynamics in the EU—A Conditional Capital Shortfall Approach. In: Dima, A.M., D'Ascenzo, F. (eds) Business Revolution in a Digital Era. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-59972-0_4

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