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

Author

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  • 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

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    File URL: http://rebs.feaa.uaic.ro/articles/pdfs/212.pdf
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    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

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