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Main Romanian Commercial Banks’ Systemic Risk during Financial Crisis: a CoVar Approach

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  • Gabriela Anghelache
  • Dumitru-Cristian Oanea

Abstract

This paper aims to estimate the effects of contagion on the three Romanian commercial banks during financial crisis period, by using the CoVaR methodology. The motivation in choosing this topic is represented by the fact there is little research on systemic risk and contagion in the Romanian banking sector. The results of this paper highlight that the largest contribution to the daily losses of the most important commercial banks is given by Carpatica, while the lowest contribution is given by Transilvania. Moreover, we obtained that the Carpatica has the highest impact on both BRD and Transilvania, while Transilvania has the smallest impact.

Suggested Citation

  • Gabriela Anghelache & Dumitru-Cristian Oanea, 2014. "Main Romanian Commercial Banks’ Systemic Risk during Financial Crisis: a CoVar Approach," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 6(2), pages 069-080, December.
    • Handle: RePEc:rfb:journl:v:06:y:2014:i:2:p:069-080
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    Cited by:

    1. Gabriela-Victoria Anghelache & Dumitru-Cristian Oanea, 2016. "Romanian Commercial Banks’ Systemic Risk and Its Determinants: A CoVAR Approach," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 6(3), pages 96-109, July.
    2. Ionut – Daniel Pop, 2019. "Systemic Sustainability of European Banking Activity: A Multi-Perspective Approach," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 9(3), pages 49-58, July.

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