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Measuring systemic risk in the European banking sector : a copula CoVaR approach

Karimalis, Emmanouil N.; Nomikos, Nikos K. - In: The European journal of finance 24 (2018) 10/12, pp. 944-975

Persistent link: https://www.econbiz.de/10012244423

Transmission channels of systemic risk and contagion in the European financial network

Paltalidis, Nikos; Gounopoulos, Dimitrios; Kizys, Renatas; … - In: Journal of banking & finance 61 (2015), pp. 36-52

Persistent link: https://www.econbiz.de/10011584245

The Systemic Risk of European Banks During the Financial and Sovereign Debt Crises

Black, Lamont - 2017

integrates the characteristics of bank size, default probability, and interconnectedness. Based on this measure, the systemic … have notably increased their systemic importance. We also find that bank-specific fundamentals predict the one …

Persistent link: https://www.econbiz.de/10012955367

The Systemic Risk of European Banks During the Financial and Sovereign Debt Crises

Black, Lamont - 2017

This paper designs a systemic risk measure for the European banking system as a hypothetical distress insurance premium (DIP), which integrates economically the main characteristics of systemic risk — size, default probability, and interconnectedness. We further identify the individual...

Persistent link: https://www.econbiz.de/10012974805

The systemic risk of European banks during the financial and sovereign debt crises

Black, Lamont; Correa, Ricardo; Huang, Xin; Zhou, Hao - In: Journal of banking & finance 63 (2016), pp. 107-125

Persistent link: https://www.econbiz.de/10011634180

Systemic risk spillovers in the European banking and sovereign network

Betz, Frank; Hautsch, Nikolaus; Peltonen, Tuomo; … - 2014

-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The … equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over …

Persistent link: https://www.econbiz.de/10010411283

Systemic risk spillovers in the European banking and sovereign network

Betz, Frank; Hautsch, Nikolaus; Peltonen, Tuomo; … - 2016

sector fragmentation and sovereign-bank linkages evolved over the European sovereign debt crisis, and how they are reflected …

Persistent link: https://www.econbiz.de/10011414705

Systemic risk spillovers in the European banking and sovereign network

Betz, Frank; Hautsch, Nikolaus; Peltonen, Tuomo; … - In: Journal of financial stability 25 (2016), pp. 206-224

Persistent link: https://www.econbiz.de/10011704905

What kind of systemic risks do we face in the European banking sector? : the approach of CoVaR measure

Karkowska, Renata - In: Folia oeconomica Stetinensia : FOS 14 (2014) 2, pp. 114-139

Persistent link: https://www.econbiz.de/10011419194

Bank capital, risk and performance in European Banking : a case study on seven banking sectors

Witowschi, Irina Raluca Busuioc; Luca, Florin Alexandru - In: Prague economic papers : a bimonthly journal of … 25 (2016) 2, pp. 127-142

Persistent link: https://www.econbiz.de/10011455503

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