This paper attempts to assess the Europe-wide systemic risk in banking. We employ a bivariate GARCH model to estimate conditional correlations between European bank stock indices. These correlations are used as…
The systemic risk potential in the European banking market has increased. Hence, the following questions emerge: Is there a need for a truly European supervisory framework? And, how should a potential European…
Contributions to Edited Volumes and Conference Proceedings
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2003