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Systemic risk of European banks: Regulators and markets

Author

Listed:
  • Maarten van Oordt
  • Chen Zhou

Abstract

Rules and regulations may have different impacts on risk-taking by individual banks and on banks' systemic risk levels. That is why implementing prudential rules and policies requires careful consideration of their impact on bank risk and systemic risk. This chapter assesses whether market-based measures of systemic risk and recent regulatory indicators provide similar rankings on the systemically importance of large European banks. We find evidence that regulatory indicators of systemic importance are positively related to systemic risk. In particular, banks with higher scores on regulatory indicators have a stronger link to the system in the event of financial stress, rather than having a higher level of bank risk.

Suggested Citation

  • Maarten van Oordt & Chen Zhou, 2015. "Systemic risk of European banks: Regulators and markets," DNB Working Papers 478, Netherlands Central Bank, Research Department.
  • Handle: RePEc:dnb:dnbwpp:478
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    File URL: https://www.dnb.nl/en/binaries/WP478_tcm47-324614.pdf
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    References listed on IDEAS

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    Cited by:

    1. Alin-Marius Andries & Florentina Melnic & Simona Nistor, 2018. "Effects of Macroprudential Policy on Systemic Risk and Bank Risk Taking," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(3), pages 202-244, July.
    2. repec:gam:jrisks:v:6:y:2018:i:4:p:137-:d:187763 is not listed on IDEAS

    More about this item

    Keywords

    G-SIBs; financial stability; macroprudential regulation; systemic importance;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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