This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies between banks’ equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks’ exposure to each other (“contagion risk”) and...

In this study we apply cluster analysis techniques, including a novel smoothing method, to detect some basic patterns and trends in the euro area banking sector in terms of the degree of homogeneity of countries. We find that in the period 1998-2004 the banking sectors in the euro area countries...

We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from diversification within large banks and financial...

This paper proposes and evaluates several market-based measures for US and eurozone individual bank tail risk and banking system risk. We apply statistical extreme value analysis to the tails of bank equity prices to estimate the likelihood of individual institutions financial distress as well...

This paper investigates whether the country-level financial environment in which microfinance institutions (MFIs) have to work affects their operations. In particular, we argue that the efficiency of MFIs is determined by the extent to which financial markets of countries are developed. On the...

This paper tests the hypothesis that stress tests are primarily a function of the fundamental financial condition and operating environment of individual banks, rather than alternative adverse economic and financial scenarios imposed by regulators. We develop a novel early warning system based...

The theory of strategic groups predicts the existence of stable groups of companies that adopt similar business strategies. The theory also predicts that groups will differ in performance and in their reaction to external shocks. We use cluster analysis to identify strategic groups in the Polish...

Using a hierarchical cluster analysis and considering a large range of harmonised banking indicators, this paper assesses the impact of the recent crisis on the fragmentation of the euro area banking system. Results show that the crisis has led to a growing heterogeneity of banking structures...

In this study we apply cluster analysis techniques, including a novel smoothing method, to detect some basic patterns and trends in the euro area banking sector in terms of the degree of homogeneity of countries. We find that in the period 1998-2004 the banking sectors in the euro area countries...

The big ten banks in Ghana are too profitable (in terms of what is socially optimal) and they earn much higher profits compared to other industries. Their excess profits are being made at the expense of the public and that they should contribute toward the public finances. We propose a bank tax...