دانلود مقاله ISI انگلیسی شماره 80158
ترجمه فارسی عنوان مقاله

ریسک سیستماتیک بانکهای اروپایی در طول بحران بدهی مالی و دارای حاکمیت

عنوان انگلیسی
The systemic risk of European banks during the financial and sovereign debt crises ☆
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
80158 2016 19 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Banking & Finance, Volume 63, February 2016, Pages 107–125

ترجمه کلمات کلیدی
ریسک سیستماتیک بانک ؛ بحران بدهی اروپا؛ خیلی بزرگ به شکست میرسد؛ قدرت نفوذ؛ همبستگی؛ تبادل افول اعتبار؛
کلمات کلیدی انگلیسی
G15; G21; G28Banking systemic risk; European debt crisis; Too-big-to-fail; Leverage; Correlation; Credit default swap; Macroprudential regulation
پیش نمایش مقاله
پیش نمایش مقاله  ریسک سیستماتیک بانکهای اروپایی در طول بحران بدهی مالی و دارای حاکمیت

چکیده انگلیسی

European banks became a source of risk to global financial markets during the financial crisis and attention to the European banking sector increased during the sovereign debt crisis. To measure the systemic risk of European banks, we calculate a distress insurance premium (DIP), which integrates the characteristics of bank size, probability of default, and correlation. Based on this measure, the systemic risk of European banks reached its height in late 2011 around €500 billion. We find that this was largely due to sovereign default risk. The DIP methodology is also used to measure the systemic contribution of individual banks. This approach identifies the large systemically important European banks, but Italian and Spanish banks as a group notably increased in systemic importance during the sample period. Bank-specific fundamentals like capital-asset ratios predict the one-year-ahead systemic risk contributions.