Tail risk emanating from troubled European banking sectors

Farrukh Javed, Hassan Sabzevari, Nader Virk

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)


The spillover risk and systemic risk of the troubled banking sectors of Greece, Ireland, Italy, Portugal and Spain (GIIPS) for the rest of the European and the US banking sector are investigated using the conditional value-at-risk (CoVaR) framework. Our results show that the CoVaR estimates are sensitive to the choice of static and dynamic parametrization of volatility and pairwise-correlations. Nevertheless, even the conservative estimates for CoVaR and changes in it display that the magnitude of these risks, originating from GIIPS countries, is large. These risks affect banking of large European and the US banking sectors more than the rest.

Original languageEnglish
Article number101952
Number of pages6
JournalFinance Research Letters
Publication statusPublished - 1 Nov 2021
Externally publishedYes


Dive into the research topics of 'Tail risk emanating from troubled European banking sectors'. Together they form a unique fingerprint.

Cite this