Systemic Risk : The Impact of COVID-19

Banking sectors across the world are facing unprecedented challenges due to the COVID-19 pandemic and are under immense pressure. This study examines the impact of COVID-19 on the systemic risk in eight of the most affected countries. Results indicate a significant increase in systemic risk during the pandemic. All the sample countries exhibit stagnancy (at an elevated level) in systemic risk during April 2020 except for China which has shown some recovery. By using the spillover measures, we also identify the systemically important institutions. The findings of this study have valuable insights for the regulators