This study investigates the relationship between board risk oversight practices at financial institutions in the EU and systemic risk during the sovereign debt crisis. More specifically, we examine whether European banks and insurance companies that had strong board-level risk oversight in place before the onset of the sovereign debt crisis fared better during the crisis. We construct a risk oversight index based on publicly available, hand-collected data, which captures the strength of the institutions’ board-level risk governance practices. We find that financial institutions with stronger board risk oversight prior to the crisis were less vulnerable to the sovereign debt crisis, after controlling for other factors. The results are consistent and economically relevant for SRISK, probability of default, and Delta-CoVaR, three measures of systemic risk that are commonly used in the context of financial institutions.

本研究调查了欧盟金融机构的董事会风险监督实践与主权债务危机期间系统性风险之间的关系。更具体地说，我们研究了在主权债务危机爆发之前就已实施强有力的董事会级风险监督的欧洲银行和保险公司在危机期间的表现是否更好。我们根据公开可用的手工收集数据构建风险监督指数，该指数反映了机构董事会层面风险治理实践的实力。我们发现，在控制了其他因素后，危机前董事会风险监督能力更强的金融机构更不容易受到主权债务危机的影响。结果一致且与 SRISK、违约概率和 Delta-CoVaR 具有经济相关性，