This paper proposes three modifications to the calculation of SRISK and CoVaR. These modifications make it possible to apply the two measures to an additional 31 systemically important financial institutions in the Central and Eastern European (CEE) region. They also add information about interconnectedness and complexity, and illuminate risk factors that are endemic to CEE and Western European stock markets. We empirically analyze Bulgaria, Estonia, Czechia, Hungary, Latvia, Lithuania, Poland, Romania and Slovakia in the period from 2006 to 2018. The results confirm increased systemic risk in the years 2008–9 and 2012–13. Systemic risk rankings demonstrate the significant scale of systemic risk relative to gross domestic product for many of the countries under analysis. The results also confirm that systemic risk in the CEE region has the same theoretical properties as it does in advanced economies. This finding underlines that it is necessary to analyze the CEE region using measures of systemic risk that are at least as sophisticated as those used in the most developed countries.

中文翻译：

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使用 SRISK 和 CoVaR 改进中欧和东欧地区系统性风险分析的三种方法

本文对 SRISK 和 CoVaR 的计算提出了三个修改。通过这些修改，可以将这两项措施应用于中东欧（CEE）地区的另外 31 家系统重要性金融机构。它们还添加了有关相互关联性和复杂性的信息，并阐明了中东欧和西欧股市特有的风险因素。我们对 2006 年至 2018 年期间的保加利亚、爱沙尼亚、捷克、匈牙利、拉脱维亚、立陶宛、波兰、罗马尼亚和斯洛伐克进行了实证分析。结果证实 2008-9 年和 2012-13 年系统性风险增加。系统性风险排名表明，对于许多被分析国家而言，系统性风险相对于国内生产总值的规模很大。结果还证实，中东欧地区的系统性风险与发达经济体具有相同的理论特性。这一发现强调，有必要使用至少与最发达国家使用的系统风险措施一样复杂的系统风险措施来分析中东欧地区。