CONTRIBUTION TO SYSTEMIC RISK OF THE EUROPEAN BANKING GROUPS WITH SUBSIDIARIES IN CENTRAL AND EASTERN EUROPE

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

Review of Economic and Business Studies, 2014, issue 14, 129-150

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.

Keywords: systemic risk; Conditional Value at Risk; quantile regression; tail risk; capital adequacy; CEE cross-border banking (search for similar items in EconPapers)
JEL-codes: C22 C51 G01 G21 G32 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:aic:revebs:y:2014:d:14:mutus

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