In this paper we review the actual operational data of an anonymous Central European Bank, using two approaches described in the literature: the loss distribution approach and the extreme value theory (EVT). Within the EVT analysis, two estimation methods were applied; the standard maximum...

In this paper we review the actual operational data of an anonymous Central European Bank, using two approaches described in the literature: the loss distribution approach and the extreme value theory (EVTʺ). Within the EVT analysis, two estimation methods were applied; the standard maximum...

In this paper, we analyze the relationship between the net interest margin (NIM) of US and European banks and market interest rates in a low interest rate environment. We contribute to the literature by examining a large sample of annual data on 1,155 banks from United States and EU member...

The 2007-2009 financial crisis highlighted the vulnerabilities in the global banking system and shifted research focus to the study of systemic risk. Network theory and agent-based simulation have been used to investigate complex banking systems that would be difficult to model analytically....