We perform an analysis of systemic risk in financial and energy sectors in Europe using daily time series of CDS spreads. We employ the factor copula model with GAS dynamics from Oh and Patton (2018) for the purpose of estimating dependency structures between market participants. Based on the estimated models, we perform Monte Carlo simulations to obtain future values of CDS spreads, and then measure the probability of systemic events at given time points. We conclude that substantially higher systemic risk is present in the financial sector compared to the energy sector. We also find that the most systemically vulnerable financial and energy companies come from Spain.

我们使用CDS利差的每日时间序列，对欧洲金融和能源行业的系统风险进行分析。为了估计市场参与者之间的依存关系，我们采用了Oh和Patton（2018）的具有GAS动力学的因子对数模型。基于估计的模型，我们执行蒙特卡洛模拟，以获得CDS价差的未来值，然后在给定的时间点测量系统性事件的概率。我们得出的结论是，与能源部门相比，金融部门存在更高的系统风险。我们还发现，系统性最弱的金融和能源公司来自西班牙。