In this seminar Jacob Kleinow will provide an overview of his recent paper ”Determinants of Systemically Important Banks: The Case of Europe“. This paper investigates the drivers of systemic risk and contagion among European banks from 2007 to 2012. First, Jacob derives a systemic risk measure from the concepts of MES and CoVaR analysing tail co-movements of daily bank stock returns. He then runs panel regressions for the systemic risk measure using idiosyncratic bank characteristics and a set of country and policy control variables. Jacob’s results comprise highly significant drivers of systemic risk in the European banking sector with important implications for banking regulation.

Jacob is a PhD candidate at Freiberg University in Germany. His main research fields are the regulation of financial intermediaries and Systemically Important Financial Institutions (SIFI). Jacob is a lecturer in finance at Freiberg University and has published in various international peer-reviewed journals.

The CAMA Macroeconomics Brown Bag Seminars offer CAMA speakers, in particular PhD students, an opportunity to present their work in progress in front of their peers, and reputable visitors to showcase their work.