Authors: Kyriaki Kosmidou, Konstantinos Moutsianas

Title: SYSTEMIC RISK AND SPILLOVER EFFECT IN THE GREEK BANKING SYSTEM

Abstract

Our research focuses on the measurement of systemic risk of the Greek banking system and the spillover effect between the Greek banking institutions. For the measurement of the systemic risk we employ a methodology first proposed by Adrian and Brunnermeier (2011) which is based on the CoVaR.The analysis covers the period from 2001 to 2014.

We select to examine the Greek banking system because in the case of Greece the country has experienced, initially, a sovereign-induced crisis which spilled over the entire banking system, transforming the sovereign-debt crisis to a banking crisis in contrast to other countries such as Ireland, Cyprus and Spain in which the banking sector generated the sovereign crisis.

The paper contributes, also, to the development of the macro-prudential regulation in Greek banking sector since it provide evidences about the banks’ systemic risk and insights regarding the risk spillovers effects from chosen financial institutions to whole financial system.