How Much Does Book Value Data Tell Us about Systemic Risk and Its Interactions with the Macroeconomy? A Luxembourg Empirical Evaluation

In order to efficiently capture the contribution to the aggregated systemic risk of each financial institution arising from various important balance-sheet items, this publication proposes a comprehensive approach of "Mark-to-Systemic-Risk" to integrate book value data of Luxembourg financial institutions into systemic risk measures. It characterizes systemic risks and risk spillovers in equity returns for 33 Luxembourg banks, 30 European banking groups, and 232 investment funds.