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Instability In The Cee Banking System. Evidence From The Recent Financial Crisis

Listed author(s):
  • Renata Karkowska

    ()

    (Alexandru Ioan Cuza University of Iasi, Romania)

Sparked by the recent great recession and the role of financial markets, considerable interest exists among researchers within both the academic and public community in measuring and modeling systemic risk. This article introduces a new framework for measuring systemic risk by using a risk-adjusted balance sheet approach. In this regard, the analysis of 21 largest commercial banks operating in 7 countries from Central and Eastern Europe, shows potential risk which could threaten all the financial system. The paper concludes new directions for measuring systemic risk by using Merton model. It shows how risk management tools can be applied in new ways to measure and analyze systemic risk in European banking system.

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File URL: http://www.ceswp.uaic.ro/articles/CESWP2013_V4_KAR.pdf
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Article provided by Centre for European Studies, Alexandru Ioan Cuza University in its journal CES Working Papers.

Volume (Year): 5(4) (2013)
Issue (Month): 4 (December)
Pages: 535-547

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Handle: RePEc:jes:wpaper:y:2013:v:5:i:4:p:535-547
Contact details of provider: Web page: http://cse.uaic.ro

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  1. Pesaran, M. Hashem & Schuermann, Til & Treutler, Bjorn-Jakob & Weiner, Scott M., 2006. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1211-1261, August.
  2. Dale F. Gray & Carlos J. García & Leonardo Luna & Jorge E. Restrepo, 2011. "Incorporating Financial Sector Risk Into Monetary Policy Models: Application to Chile," Central Banking, Analysis, and Economic Policies Book Series,in: Rodrigo Alfaro (ed.), Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 6, pages 159-197 Central Bank of Chile.
  3. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Chapters,in: Market Institutions and Financial Market Risk National Bureau of Economic Research, Inc.
  4. Kohara, Miki & Kamiya, Yusuke, 2011. "Do Working Mothers Reduce Their Home Production?," Economic Review, Hitotsubashi University, vol. 62(4), pages 342-355, January.
  5. Renzo G Avesani & Jing Li & Antonio Garcia Pascual, 2006. "A New Risk Indicator and Stress Testing Tool; A Multifactor Nth-to-Default CDS Basket," IMF Working Papers 06/105, International Monetary Fund.
  6. Lehar, Alfred, 2005. "Measuring systemic risk: A risk management approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2577-2603, October.
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