Systemic Tail-Risk Contributions in European Banking
Non-peer-reviewed working paper on hierarchical Bayesian CoVaR and bank-level systemic risk
This project constructs a broad-coverage bank-level ranking of systemic tail-risk contributions in European banking. The analysis uses a hierarchical Bayesian quantile CoVaR framework for a panel that includes listed and non-listed institutions, including savings and cooperative banks that are often absent from market-based systemic-risk measures.
Together with Sebastian Stefani and Hans-Peter Burghof, I estimate bank-specific tail loadings with partial pooling and map them into an asset-weighted Delta-CoVaR contribution index. The ranking is highly concentrated among large and internationally active banking groups, but it is not identical to a pure size ranking.
The prudential interpretation is deliberately limited. Descriptive exercises with regulatory distance-to-distress data suggest that the association between the ranking and regulatory headroom weakens substantially after controlling for size. The project is therefore best read as a measurement and ranking exercise, not as a direct supervisory stress-test claim.
Current manuscript: non-peer-reviewed working paper. Data and repository links are not public because parts of the project rely on restricted banking data.