IDEAS home Printed from https://ideas.repec.org/a/aic/revebs/y2014d14mutus.html
   My bibliography  Save this article

Contribution To Systemic Risk Of The European Banking Groups With Subsidiaries In Central And Eastern Europe

Author

Listed:
  • Simona MUTU

    () (Babes-Bolyai University, Postal Address: Teodor Mihali Street, Nr. 58-60, Cluj-Napoca 400591, Romania)

Abstract

This paper investigates the systemic risk within banking groups from the Euro zone with subsidiaries in Central and Eastern Europe during the 2001-2010 period. In order to capture the extreme movements we have modeled the data through tail risk measures and semi-parametric quantile regression. The results show that systemic risk is time-varying in respect with each bank individual risk and a set of indices representative for the European financial markets. Risk measures are higher and more volatile after the 2008 financial crisis, in comparison with the pre-crisis period. Greek banks have the largest contribution to systemic risk, followed by banks from France, Italy and Germany.

Suggested Citation

  • Simona MUTU, 2014. "Contribution To Systemic Risk Of The European Banking Groups With Subsidiaries In Central And Eastern Europe," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 14, pages 129-150, December.
    • Handle: RePEc:aic:revebs:y:2014:d:14:mutus
    as

    Download full text from publisher

    File URL: http://www.rebs.ro/articles/pdfs/212.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Ashoka Mody & Damiano Sandri, 2012. "The eurozone crisis: how banks and sovereigns came to be joined at the hip," Economic Policy, CEPR;CES;MSH, vol. 27(70), pages 199-230, April.
    2. Eichengreen, Barry & Ruhl, Christof, 2001. "The bail-in problem: systematic goals, ad hoc means," Economic Systems, Elsevier, vol. 25(1), pages 3-32, March.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    systemic risk; Conditional Value at Risk; quantile regression; tail risk; capital adequacy; CEE cross-border banking;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aic:revebs:y:2014:d:14:mutus. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sireteanu Napoleon-Alexandru). General contact details of provider: http://edirc.repec.org/data/feaicro.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.