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  • Author: Simona Mutu x
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Exposure to Systemic Risk of the European Too-Big-to-Fail Banks During Crisis

Abstract

This paper investigates the exposure to systemic risk of “too-bigto- 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.

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Banks’ Vulnerability and Financial Openness across Central and Eastern Europe

Abstract

This paper investigates the impact of the degree of capital account openness on banks’ exposure to extreme events during the period 2005-2012 using a sample of financial institutions from Central and Eastern Europe. The empirical output highlights a positive and strongly significant impact of a higher degree of financial openness on banks’ systemic vulnerability. Robust findings suggest that this harmful effect is lower for foreign owned banks or for those whose bank holding company signed one or more Vienna Initiative commitment letters. On the other side, tighter capital regulations and private monitoring policies enhance the positive impact of a higher degree of capital accounts openness on banks’ vulnerability to systemic events.

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Bank Business Models and Performance During Crisis in Central and Eastern Europe

Abstract

This paper investigates the impact of business models on bank performance during the period 2007-2008 among 156 banks from Central and Eastern European countries. The findings show that banks with higher capitalization perform better and present a lower probability of default. The orientation towards the traditional lending activities as well as a higher degree of income diversification boosts performance. Using a Difference-in-Difference framework we also highlight the importance of bank business strategies for bank performance across different bank characteristics (ownership, size) and macroeconomic conditions (financial crisis, EU membership status, regulatory framework.

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Systemically Important Banks in Europe: Risk, Complexity and Cross-Jurisdictional Activities

Abstract

This paper aims to investigate the effects of the assets and liabilities structure of financial institutions considered for regulatory purposes on their probability of default, across a sample of European banks that are designated as Global Systemically Important Banks (G-SIBs). Our analysis spans from 1995 to 2018. The empirical findings of a Fixed Effects panel model indicate that characteristics like size, complexity and cross-jurisdictional activities have a considerable impact on banks’ distance to default. This study also finds that financial institutions with greater Capital Tier1 ratios are more likely to have a lower probability of default, a result that highlights the importance of implementing the BASEL III Capital Accord specifications.

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