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Exposure To Systemic Risk Of The European Too-Big-To-Fail Banks During Crisis

Author

Listed:
  • Simona MUTU

    (at Babes-Bolyai University, Teodor Mihali Street, Nr. 58-60, Cluj-Napoca 400591, Romania)

Abstract

This paper investigates the exposure to systemic risk of “too-big-to-fail” banks. Using a sample of top ten European banks by total assets at the debut of the most recent financial crisis we assess the contagion effects during 2008-2010 by employing the Conditional Value at Risk methodology. Empirical results suggest an intensification of banks’ exposure to systemic risk during the crisis period. The vulnerability to systemic events is significantly and positively associated with higher long term government bonds yields and lower interbank offered rates for unsecured lending transactions.

Suggested Citation

  • Simona MUTU, 2015. "Exposure To Systemic Risk Of The European Too-Big-To-Fail Banks During Crisis," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 16, pages 103-115, December.
    • Handle: RePEc:aic:revebs:y:2015:d:16:mutus
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    too-big-to-fail; systemic risk; Conditional Value at Risk; quantile regression; tail risk;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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