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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

Abstract: 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)
Date: 2016
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