 Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisisStefan Straetmans and Sajid M. Chaudhry Journal of International Money and Finance, 2015, vol. 58, issue C, 191-223 Abstract: We evaluate multiple market-based measures for US and eurozone individual bank tail risk and bank systemic risk. We apply statistical extreme value analysis to the tails of bank equity capital losses to estimate the likelihood of individual institutions' financial distress as well as individual banks' exposure to each other (“spillover risk”) and to global shocks (“extreme” systematic risk). The estimation procedure presupposes that bank equity returns are “heavy tailed” and “tail dependent” as identifying assumption. Using both US and eurozone banks allows one to make a cross-Atlantic comparison of tail risks and systemic stability. We also assess to what extent magnitudes of tail risk and systemic risk have been altered by the global financial crisis. The results suggest that both tail risk and systemic risk in the US are higher than in the eurozone regardless of the considered sample period. Keywords: Banking; Systemic risk; Asymptotic dependence; Multivariate extreme value theory (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:58:y:2015:i:c:p:191-223 DOI: 10.1016/j.jimonfin.2015.07.003 Access Statistics for this article Journal of International Money and Finance is currently edited by J. R. Lothian More articles in Journal of International Money and Finance from Elsevier |
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