| Author(s): |
Mgr. Ing. Matěj Nevrla ,
|
| Type: |
Articles in journals with impact factor |
| Year: |
2020 |
| Number: |
4 |
| ISSN / ISBN: |
0939-3625 |
| Published in: |
Economic Systems, 44, 100820 |
| Publishing place: |
|
| Keywords: |
Credit default swap, Energy sector, Factor copula, Financial sector, Generalized autoregressive score model, Systemic risk |
| JEL codes: |
C53; C55; C58; G17 |
| Suggested Citation: |
|
| Abstract: |
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. |
