The 2007-2009 financial crisis rigorously exposed the relevance of systemic risk and systemically important financial institutions (SIFIs) for financial market stability. While both notions are ubiquitous in the analysis of the financial crisis and in the discourse on banking sector regulation, there is still no consensus on adequate measurement approaches. In this thesis we develop the ‘expected systemic shortfall’ (ESS) methodology which facilitates both the measurement of aggregate systemic risk and the assessment of a bank’s relative systemic risk contribution. The ESS-indicator is derived in a transparent fashion using standard measures from financial institutions risk management and represents the product of the probability of a systemic default event in the banking sector and the expected loss when this systemic event occurs. The measure is computed using a credit portfolio simulation model whose input parameters are estimated from market CDS spreads and equity return correlations. In addition to these methodological contributions we conduct the most comprehensive analysis of systemic risk and systemic importance in global and regional financial markets to date. Our empirical results show that the ESS-indicator responds adequately to both the financial crisis events with global importance and to specific events in the regional sub-samples. The ESS-indicator reaches its peak in September 2008 and remains at an elevated level at the end of the sample period for all samples and particularly for the European sub-sample. The relative systemic risk contribution of individual banking groups is mainly driven by their size, corroborating the common ‘too big to fail’ statement. We contribute to the ongoing discourse concerning the regulation of systemically important financial institutions by suggesting the use of the relative systemic risk contributions to the ESS-indicator as a measure for a bank’s systemic importance. By applying a systemic risk contribution threshold of one percent, our empirical results show that there are 23 globally systemically important banks. The recent financial crisis and the subsequent sovereign debt crisis also exposed the relevance of banking sector risk contagion effects. Specifically, inter-regional systemic risk contagion, bank vs. sovereign sector as well as bank vs. non-bank corporate sector risk contagion dependencies are mentioned frequently both in academia and among practitioners. However, there are only very few empirical investigations of these dependencies to date. In fact, to our best knowledge only the interdependencies between bank and sovereign credit spreads on the country level have been the focus of previous research. In the present thesis we add to this rather unexplored field of financial research and conduct a comprehensive empirical analysis of banking sector risk contagion effects. In particular, we employ state-of-the-art time series methods in order to examine the following banking sector risk contagion dependencies: Firstly, we analyze inter-regional systemic risk contagion dependencies using the regional ESS-indicator developed in this thesis (as measure of systemic risk) and alternatively regional bank credit spreads. Secondly, we examine interdependencies between bank and sovereign credit spreads for intra-/inter-regional and intra-country relations. Thirdly, we analyze the interdependencies between bank and non-bank corporate sector credit spreads and alternatively equity returns on the intra-regional level. For the inter-regional systemic risk contagion effects we find that the systemic risk in the American financial system mostly leads the systemic risk in the other regions since the subprime crisis period. Moreover, the analysis shows new inter-regional systemic risk dependencies which have not been described previously. The analysis of sovereign vs. banking sector risk contagion exhibits a strong increase of the interdependencies between sovereign and banking sector credit spreads since the financial crisis. The impact of sovereign vs. bank default risk even increased during the sovereign debt crisis period. The analysis of bank vs. non-bank corporate risk contagion effects exposed that changes in the default risk of banks depend changes in the default risk of the corporate sector during the financial crisis period in all regions, corroborating the claim that banking sector risk impacts the real economy. The analysis of the bank vs. non-bank corporate equity returns shows interestingly that the bank equity returns are led by the corporate equity returns whereas the opposite dependency is only rarely observed.     «

The 2007-2009 financial crisis rigorously exposed the relevance of systemic risk and systemically important financial institutions (SIFIs) for financial market stability. While both notions are ubiquitous in the analysis of the financial crisis and in the discourse on banking sector regulation, there is still no consensus on adequate measurement approaches. In this thesis we develop the ‘expected systemic shortfall’ (ESS) methodology which facilitates both the measurement of aggregate systemic...     »

Die 2007-2009 Finanzkrise hat die Relevanz von systemischem Risiko im Finanzmarkt sowie systemrelevanter Banken für die Finanzmarktstabilität gezeigt. In dieser Dissertation wird eine auf Kapitalmarkdaten basierende Methodik, der ‚Expected Systemic Shortfall‘ (ESS) Indikator, zur Messung von systemischem Risiko und Beurteilung von Systemrelevanz entwickelt. Die Methodik wird empirisch im globalen und regionalen Kontext angewendet. Überdies haben die Finanz- und Staatsschuldenkrise die Interdependenzen des Bankensektors mit anderen Bereichen der Finanzmärkte und der Realwirtschaft gezeigt, welche bislang wissenschaftlich nur teilweise untersucht worden sind. In dieser Dissertation werden daher die Interdependenzen i) des regionalen systemischen Finanzmarktrisiskos, ii) von Banken- und Länder Credit Spreads sowie iii) zwischen Credit Spreads bzw. Aktienrenditen des Bankensektors und sonstiger Unternehmen untersucht.      «

Die 2007-2009 Finanzkrise hat die Relevanz von systemischem Risiko im Finanzmarkt sowie systemrelevanter Banken für die Finanzmarktstabilität gezeigt. In dieser Dissertation wird eine auf Kapitalmarkdaten basierende Methodik, der ‚Expected Systemic Shortfall‘ (ESS) Indikator, zur Messung von systemischem Risiko und Beurteilung von Systemrelevanz entwickelt. Die Methodik wird empirisch im globalen und regionalen Kontext angewendet. Überdies haben die Finanz- und Staatsschuldenkrise die Interdep...     »