Εκτίμηση του συστημικού κινδύνου των ελληνικών τραπεζών με τη χρήση του CoVaR

Παπαϊωάννου, Θωμάς Μ.

Master Thesis

Author

Παπαϊωάννου, Θωμάς Μ.

Date

2013-05-22

Abstract

The current thesis focuses on the assessment of systemic risk of the Greek banks using four famous calculation methods. At the first part, we define systemic risk and provide a thorough research of the respective bibliography. Moving to the second part of this dissertation, we describe in detail the Capital Asset Pricing Model (CAPM) and define Value at Risk (VaR). The analysis also includes the definition and the valuation of the Conditional Value at Risk (CoVaR) and the Marginal Expected Shortfall (MES). At the third part, we carry out an empirical analysis including twelve Greek financial institutions and two European, having defined the last quinquennium as the study period. Moreover, for each measure we suggest an empirical comparison of the above institutions by these four measures. We also study the behavior of the above measures taking into account possible acquisition/merger between two large financial institutions of Greece. At the fourth part, we analyze the systemic risk in a worldwide scale.