CONTRIBUTION TO SYSTEMIC RISK OF THE EUROPEAN BANKING GROUPS WITH SUBSIDIARIES IN CENTRAL AND EASTERN EUROPE

CONTRIBUTION TO SYSTEMIC RISK OF THE EUROPEAN BANKING GROUPS WITH SUBSIDIARIES IN CENTRAL AND EASTERN EUROPE

This paper investigates the systemic risk within banking groups from the Euro zone with subsidiaries in Central and Eastern Europe during the 2001-2010 period. In order to capture the extreme movements we have modeled the data through tail risk measures and semi-parametric quantile regression. The r...

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Bibliographic Details
Main Author: Simona MUTU
Format: Article
Language:English
Published: Sciendo 2014-12-01
Series:Review of Economic and Business Studies
Subjects:
systemic risk
Conditional Value at Risk
quantile regression
tail risk
capital adequacy
CEE cross-border banking
Online Access:http://www.rebs.ro/articles/pdfs/212.pdf

Internet

http://www.rebs.ro/articles/pdfs/212.pdf

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