A1559
Title: Measuring systemic country risk
Authors: Christian Haefke - New York University (United Arab Emirates) [presenting]
Leopold Soegner - Institute for Advanced Studies (Austria)
Abstract: In times of economic crises, recessions spread across countries. The Delta CoVaR method is employed, which captures the cross-sectional tail dependency between the entire financial system and an individual institution to estimate systemic country risk. The focus is on exposure-delta CoVaR, which measures (in this context) how much a particular country's risk increases given a global economic crisis. To capture the global economic system, data from 1965 to 2022 is employed for thirty major countries. This allows for discussion of the impact of the 2008 Financial Crisis and the 2020 CoViD epidemic, as well as the oil shocks of the 1970s.
