IDIOSYNCRATIC RISK AND SYSTEMIC RISK IN THE EUROPEAN BANKING SYSTEM
This paper assesses the predictability of Conditional Value at Risk measure in estimating systemic risk and contagion effects. Using the OLS panel estimation technique applied for a sample of European banks we highlight the link between systemic risk and a range of balance sheet indicators over 2008...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | deu |
| Published: |
University of Oradea
2015-07-01
|
| Series: | Annals of the University of Oradea: Economic Science |
| Subjects: | |
| Online Access: | http://anale.steconomiceuoradea.ro/volume/2015/n1/105.pdf |