CEU Electronic Theses and Dissertations, 2023
| Author | Reizinger, Kristof |
|---|---|
| Title | Invasion Systemic Risk Premium in the Financial Industry |
| Summary | The Russia-Ukraine conflict exposed the geopolitical risks for businesses in the aggressor country. I estimate the excess systemic risk of having a Russian subsidiary at the outbreak of the war, called invasion systemic risk premium, using the data of publicly traded financial companies between 2016 and 2022. I rely on the Generalized Synthetic Control Method (Yiqing 2017), which allows causal inference despite a small sample. Companies owning Russian subsidiaries at the start of the invasion faced a 16.7 basis points invasion systemic risk premium, equivalent to 96 million USD, driven by volatility and interconnectedness. Large firms – especially big banks with high positive returns - are less risky. Firms could only strengthen stability by exiting the Russian market; particularly, non-EU-but-a-NA TO-country-mana ged insurers left Russia. My results show that running a business in an aggressor country is costly even for the least exposed publicly traded financial companies. |
| Supervisor | Tomy Lee |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2023/reizinger_kristof.pdf |
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