Resource title

The threat of systemic risk in banking: evidence for Europe

Resource image

image for OpenScout resource :: The threat of systemic risk in banking: evidence for Europe

Resource description

This paper attempts to answer the question whether the threat of systemic risk in banking exists only on a national or on a European level. Following De Nicolo and Kwast (2001), mean rolling-window correlations between bank stock returns are used as a measure for interdependencies among European banks, and hence for the systemic risk potential in Europe. National influences on stock returns are eliminated by estimating a return generating model. There is some evidence that interdependencies among European banks have increased over the past 15 years and that the potential of systemic risk has shifted from a national level to a European level.

Resource author

Martin Schüler

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/24785

Resource license

Adapt according to the presented license agreement and reference the original author.