Assessing the systemic risk between american and European financial systems

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dc.contributor.authorOrhan A.
dc.contributor.authorBenli, V. Ferhan
dc.contributor.authorCastanho R.A.
dc.date.accessioned2021-01-25T21:48:03Z
dc.date.available2021-01-25T21:48:03Z
dc.date.issued2020
dc.departmentİstanbul Ticaret Üniversitesien_US
dc.description.abstractThe present study focuses on the analysis of systemic risk in the American and European financial systems for the period from 20 August 2004 to 28 February 2014. The global crisis in 2007 has brought attention to the urgent need to understand the systemic risk issues and the stability of financial systems along with their actors. To assess systemic risk, Adrian and Brunnermeier (2011) advocated the use of conditional value-at-risk (CoVaR) methodology in integrating quantile regression. Instead of the value-at-risk (VaR), which is unable to detect systemic risk, we seek to use the CoVaR methodology to calculate the systemic risk levels of the United States and European markets. In the light of related findings, we conclude that the insurance sector contributes most to the systemic risk in the USA, while in the Eurozone, it is the financial services sector that is highly interconnected with systemic risk. © 2020, Vysoka Skola Ekonomicka. All rights reserved.en_US
dc.identifier.doi10.18267/j.pep.756en_US
dc.identifier.endpage671en_US
dc.identifier.issn1210-0455
dc.identifier.issue6en_US
dc.identifier.scopus2-s2.0-85096892828en_US
dc.identifier.scopusqualityQ4en_US
dc.identifier.startpage649en_US
dc.identifier.urihttps://doi.org/10.18267/j.pep.756
dc.identifier.urihttps://hdl.handle.net/11467/4500
dc.identifier.volume29en_US
dc.identifier.wosWOS:000596002700002en_US
dc.identifier.wosqualityQ4en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherVysoka Skola Ekonomickaen_US
dc.relation.ispartofPrague Economic Papersen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectCoVaRen_US
dc.subjectFinancial regulation and managementen_US
dc.subjectQuantile regressionen_US
dc.subjectSystemic risken_US
dc.subjectValue-at-risken_US
dc.titleAssessing the systemic risk between american and European financial systemsen_US
dc.typeArticleen_US

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