EXPOSURE TO SYSTEMIC RISK OF THE EUROPEAN TOO-BIG-TO-FAIL BANKS DURING CRISIS

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

Review of Economic and Business Studies, 2015, issue 16, 103-115

Abstract: This paper investigates the exposure to systemic risk of “too-big-to-fail” banks. Using a sample of top ten European banks by total assets at the debut of the most recent financial crisis we assess the contagion effects during 2008-2010 by employing the Conditional Value at Risk methodology. Empirical results suggest an intensification of banks’ exposure to systemic risk during the crisis period. The vulnerability to systemic events is significantly and positively associated with higher long term government bonds yields and lower interbank offered rates for unsecured lending transactions.

Keywords: too-big-to-fail; systemic risk; Conditional Value at Risk; quantile regression; tail risk (search for similar items in EconPapers)
JEL-codes: C22 C51 G01 G21 G32 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:aic:revebs:y:2015:d:16:mutus

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