Systemic risk in European financial and energy sectors: Dynamic factor copula approach

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F20%3A10418417" target="_blank" >RIV/00216208:11230/20:10418417 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=8uOyGss9Z-" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=8uOyGss9Z-</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.ecosys.2020.100820" target="_blank" >10.1016/j.ecosys.2020.100820</a>

Result language
angličtina
Original language name
Systemic risk in European financial and energy sectors: Dynamic factor copula approach
Original language description
We perform an analysis of systemic risk in financial and energy sectors in Europe using daily time series of CDS spreads. We employ the factor copula model with GAS dynamics from Oh and Patton (2018) for the purpose of estimating dependency structures between market participants. Based on the estimated models, we perform Monte Carlo simulations to obtain future values of CDS spreads, and then measure the probability of systemic events at given time points. We conclude that substantially higher systemic risk is present in the financial sector compared to the energy sector. We also find that the most systemically vulnerable financial and energy companies come from Spain.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50201 - Economic Theory

Project
<a href="/en/project/GA16-14151S" target="_blank" >GA16-14151S: Frequency dependent measurement of financial risk</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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