Internationalization, Foreign Complexity and Systemic Risk: European Banks Perspective

2017 ◽  
Author(s):  
Yassine Bakkar ◽  
Annick Pamen Nyola
Keyword(s):  
Systemic Risk ◽  
European Banks

Systemic Risk of European Banks

2018 ◽  
pp. 205-224
Author(s):  
Maarten R.C. van Oordt ◽  
Chen Zhou
Keyword(s):  
Systemic Risk ◽  
European Banks

scholarly journals The systemic risk of European banks during the financial and sovereign debt crises

2016 ◽  
Vol 63 ◽  
pp. 107-125 ◽  
Author(s):  
Lamont Black ◽  
Ricardo Correa ◽  
Xin Huang ◽  
Hao Zhou
Keyword(s):  
Systemic Risk ◽  
Sovereign Debt ◽  
European Banks ◽  
Debt Crises

Systemic risk and diversification across European banks and insurers

2013 ◽  
Vol 37 (3) ◽  
pp. 773-785 ◽  
Author(s):  
Jan Frederik Slijkerman ◽  
Dirk Schoenmaker ◽  
Casper G. de Vries
Keyword(s):  
Systemic Risk ◽  
European Banks

scholarly journals Comparing Different Systemic Risk Measures for European Banking System

2018 ◽  
Vol 12 (1) ◽  
pp. 35 ◽  
Author(s):  
Annalisa Di Clemente
Keyword(s):  
Systemic Risk ◽  
Value At Risk ◽  
Financial Stability ◽  
Risk Measures ◽  
Banking System ◽  
Expected Shortfall ◽  
Conditional Value At Risk ◽  
Dependence Structure ◽  
European Banking ◽  
European Banks

This research examines and compares the performances in terms of systemic risk ranking for three different systemic risk metrics based on daily frequency publicly available data, specifically: Marginal Expected Shortfall (ES), Component Expected Shortfall (CES) and Delta Conditional Value-at-Risk (ΔCoVaR). We compute ΔCoVaR, MES and CES by utilizing EVT principles for modelling marginal distributions and Student’s t copula for describing the dependence structure between every bank and the banking system. Our objective is to attest whether different systemic risk metrics detect the same banks as systemically dangerous institutions with refer to a sample of European banks over the time span 2004-2015. For each bank in the sample we also calculate three traditional market risk measures, like Market VaR, Sharpe’s beta and the correlation between every bank and the banking system (European STOXX 600 Banks Index). Another aim is to explore the existence of a link among systemic risk measures and traditional risk metrics. In addition, the classification results obtained by the different risk metrics are compared with the ranking in terms of systemic riskiness (for European banks) calculated by Financial Stability Board (2015) using end-2014 data and collected in its list of Global Systemically Important Banks (G-SIBs). With refer to the entire sample period, we find a good coherence of ranking results among the three different systemic risk metrics, in particular between CES and ΔCoVaR. Moreover, we find for MES and ΔCoVaR a strong linkage with beta and correlation metrics respectively. Finally, CES metric shows the highest level of concordance with the list of G-SIBs by FSB with refer to European banks.

scholarly journals The Systemic Risk of European Banks During the Financial and Sovereign Debt Crises

2013 ◽  
Vol 2013 (1083) ◽  
pp. 1-58 ◽  
Author(s):  
Lamont K. Black ◽  
◽  
Xin Huang ◽  
Hao Zhou ◽  
Ricardo Correa
Keyword(s):  
Systemic Risk ◽  
Sovereign Debt ◽  
European Banks ◽  
Debt Crises
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