Romanian Commercial Banks’ Systemic Risk and Its Determinants: A CoVAR Approach
Gabriela-Victoria Anghelache () and
Dumitru-Cristian Oanea ()
International Journal of Academic Research in Accounting, Finance and Management Sciences, 2016, vol. 6, issue 3, 96-109
This paper aims to estimate the effects of contagion on the Romanian commercial banks during period 2008 – 2015, by using the CoVaR methodology. The motivation in choosing this topic is represented by the fact there is little research on systemic risk and contagion in the Romanian banking sector. The results of this paper highlight that the largest contribution to the daily losses of Romanian banking system is given by BCR, while the lowest contribution is given by BCC. Moreover, we analysed the impact of the main financial indicators on systemic risk contribution. Based on this, we saw that financial leverage, size, risk and market to book value have a significant impact on systemic risk contribution of commercial banks.
Keywords: Correlation; financial crisis; Romanian banking sector; systemic risk; CoVaR; Value at Risk (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://hrmars.com/hrmars_papers/Article_11_Romania ... ks_Systemic_Risk.pdf (application/pdf)
http://hrmars.com/hrmars_papers/Article_11_Romania ... ks_Systemic_Risk.pdf (text/html)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hur:ijaraf:v:6:y:2016:i:3:p:96-109
Access Statistics for this article
More articles in International Journal of Academic Research in Accounting, Finance and Management Sciences from Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences
Bibliographic data for series maintained by Hassan Danial Aslam ().