In this paper, we perform analysis of systemic risk in the financial and energy sector in Europe. In our investigation, we work with daily time series of CDS spreads. We employ factor copula model with GAS dynamics of Oh and Patton (2016) for estimation purposes of dependency structures between...

Purpose – This paper aims to examine the influence of risk management (RM) practices on the credit risk of significantly supervised European banks.Design/methodology/approach – To avoid regulatory and reporting discrepancies, this paper samples banks that come under the direct supervision of...