This paper presents Peak Over Threshold's method and the generalized Pareto distribution of extreme value theory to measure Value at Risk and Expected Shortfall for CAC 40 and S&P 500 indexes during the 2008 financial crisis. We consider 1 day, 5 days and 10 days time horizons. The results of...

Approaching the institutional environment through its regulative component, we distinguish between shareholder-oriented and stakeholder-oriented countries. Identifying first this classification with the distinction between common law versus civil law countries and using a large sample of 5,716...

Our results show that US banks with a relatively high share of non-interest income become riskier with a moving toward non-interest-generating activities, especially activities from investment banking, proprietary trading, etc. The findings also prove, although weakly, that banks with a...