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Idiosyncratic Risk And Systemic Risk In The European Banking System

Author

Listed:
  • Trenca Ioan

    (Babes-Bolyai University,Cluj-Napoca, Romania, Faculty of Economics and Business Administration)

  • Petria Nicolae

    (Babes-Bolyai University,Cluj-Napoca, Romania, Faculty of Economics and Business Administration)

  • Corovei Emilia

    (Babes-Bolyai University,Cluj-Napoca, Romania, Faculty of Economics and Business Administration)

Abstract

This paper assesses the predictability of Conditional Value at Risk measure in estimating systemic risk and contagion effects. Using the OLS panel estimation technique applied for a sample of European banks we highlight the link between systemic risk and a range of balance sheet indicators over 2008-2011. The empirical results show that future contributions of banks to systemic risk can be reduced by adjusting countercyclical the banks’ asset and liability portfolios.

Suggested Citation

  • Trenca Ioan & Petria Nicolae & Corovei Emilia, 2015. "Idiosyncratic Risk And Systemic Risk In The European Banking System," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 912-919, July.
    • Handle: RePEc:ora:journl:v:1:y:2015:i:1:p:912-919
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    References listed on IDEAS

    as
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    4. TRENCA Ioan & PETRIA Nicolae & COROVEI Emilia, 2014. "A Macroprudential Framework For European Commercial Banking Sector. An Early Warning System With Logit Approach," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 66(2), pages 100-114.
    5. Reint Gropp & Marco Lo Duca & Jukka Vesala, 2009. "Cross-Border Bank Contagion in Europe," International Journal of Central Banking, International Journal of Central Banking, vol. 5(1), pages 97-139, March.
    6. Viral Acharya & Robert Engle & Matthew Richardson, 2012. "Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks," American Economic Review, American Economic Association, vol. 102(3), pages 59-64, May.
    7. Emidio Cocozza & Paolo Piselli, 2011. "Testing for East-West contagion in the European banking sector during the financial crisis," Temi di discussione (Economic working papers) 790, Bank of Italy, Economic Research and International Relations Area.
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    Keywords

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    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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