IDIOSYNCRATIC RISK AND SYSTEMIC RISK IN THE EUROPEAN BANKING SYSTEM

Ioan Trenca, Nicolae Petria and Corovei Emilia (emilia_lud@yahoo.com)
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Corovei Emilia: Babes-Bolyai University,Cluj-Napoca, Romania, Faculty of Economics and Business Administration

Annals of Faculty of Economics, 2015, vol. 1, issue 1, 912-919

Abstract: This paper assesses the predictability of Conditional Value at Risk measure in estimating systemic risk and contagion effects. Using the OLS panel estimation technique applied for a sample of European banks we highlight the link between systemic risk and a range of balance sheet indicators over 2008-2011. The empirical results show that future contributions of banks to systemic risk can be reduced by adjusting countercyclical the banks’ asset and liability portfolios.

Keywords: idiosyncratic risk; systemic risk; loan to deposits; capitalization (search for similar items in EconPapers)
JEL-codes: G01 G28 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:ora:journl:v:1:y:2015:i:1:p:912-919

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