This paper attempts to answer the question whether the threat of systemic risk in banking exists only on a national or … on a European level. Following De Nicolo and Kwast (2001), mean rolling-window correlations between bank stock returns … are used as a measure for interdependencies among European banks, and hence for the systemic risk potential in Europe …

This paper attempts to answer the question whether the threat of systemic risk in banking exists only on a national or … on a European level. Following De Nicolo and Kwast (2001), mean rolling-window correlations between bank stock returns … are used as a measure for interdependencies among European banks, and hence for the systemic risk potential in Europe …

This paper attempts to assess the Europe-wide systemic risk in banking. We employ a bivariate GARCH model to estimate … interdependencies amongst the banking business in Europe and hence for the systemic risk potential. We employ several tests to assess … conditional correlations between European bank stock indices. These correlations are used as an indication for the …

changes have an asymmetric impact in that bank stocks benefit more from negative CDS spread shocks than they are hurt by … positive shocks, which creates moral hazard and is best explained by a “too-systemic-to-fail” effect. The contagion effects are … economically significant contagion channel for tail spread increases …

This paper attempts to assess the Europe-wide systemic risk in banking. We employ a bivariate GARCH model to estimate … interdependencies amongst the banking business in Europe and hence for the systemic risk potential. We employ several tests to assess … conditional correlations between European bank stock indices. These correlations are used as an indication for the …

on foreign claims took place. For the largest 67 German banking groups, we find that both their characteristics and … behavior in the pre-crisis episode had repercussions for the crisis period. Above all, prior non-traditional banking activities …