SYSTEMIC RISK CAUSED BY ROMANIAN FINANCIAL INTERMEDIARIES DURING FINANCIAL CRISIS: A COVAR APPROACH

Crisis is a normal situation, based on economic theory regarding the economic stages: recession and expansion. But sometimes, these crises are more severe and the negative effects are felt harder by all financial and banking institutions. An example for this is represented by financial crisis from 2008, which had a high impact on financial markets volatility. During this period, many financial institutions have recorded significant losses. Therefore, this paper aims to estimate the effects of contagion between Romanian financial intermediaries, more exactly the five financial investments closed funds during financial crisis period, by using the CoVaR methodology. In order to achieve this, we will analyse the systemic risk contribution for period 2008-2013, of the financial investments funds which are publicly listed at Bucharest Stock Exchange. More precisely, we selected the following financial investments fluids: SIF 1 - Banat Crisana, SIF 2 - Moldova, SIP 4 - Muntenia, SIF 5 - Oltenia and SIP 3 - Transilvania. Motivation for choosing this subject. is represented by the fact there is little research on systemic risk in the Romanian financial sector. This research will help us to identity the financial investments fund, which has the riskier investment strategy and causing the highest contribution to systemic risk of financial sector.