Over the last few years, an increasing attention has been devoted to systemic risk in the banking sector to identify its determinants and provide devices to forecast and prevent it. One line of research has focused on identifying corporate variables from intermediaries’ balance sheets, such as size or maturity mismatch, that have significant explanatory power in identifying banks that are more likely to contribute to systemic risk in a certain period of time. In this paper, we use the CoVar measure to evaluate the role played by corporate variables for a panel of 141 European banks belonging to 24 European countries listed from 2006Q1 to 2012Q4. Our results highlight the relevance of equity return volatility, while size does not play any role in spreading systemic risk.

Urga, G., Meoli, M., Pellegrini, L., Bellavite Pellegrini, C., Systemic Risk of European Banks over the period 2006-2012, QUALE BANCA COMMERCIALE? MERCATI, REGOLE E CAPITALE UMANO, Bancaria, Milano 2014: 203-214 [http://hdl.handle.net/10807/64469]

Systemic Risk of European Banks over the period 2006-2012

Michele; Pellegrini;Laura; Bellavite Pellegrini
2014

Abstract

Over the last few years, an increasing attention has been devoted to systemic risk in the banking sector to identify its determinants and provide devices to forecast and prevent it. One line of research has focused on identifying corporate variables from intermediaries’ balance sheets, such as size or maturity mismatch, that have significant explanatory power in identifying banks that are more likely to contribute to systemic risk in a certain period of time. In this paper, we use the CoVar measure to evaluate the role played by corporate variables for a panel of 141 European banks belonging to 24 European countries listed from 2006Q1 to 2012Q4. Our results highlight the relevance of equity return volatility, while size does not play any role in spreading systemic risk.
Inglese
978-88-449-0521-7
Bancaria
Urga, G., Meoli, M., Pellegrini, L., Bellavite Pellegrini, C., Systemic Risk of European Banks over the period 2006-2012, QUALE BANCA COMMERCIALE? MERCATI, REGOLE E CAPITALE UMANO, Bancaria, Milano 2014: 203-214 [http://hdl.handle.net/10807/64469]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/64469
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