Exposure to Systemic Risk of the European Too-Big-to-Fail Banks During Crisis

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By: Simona MUTU
JEL: C51, C22, G01, G21, G32
Keywords: systemic risk, too-big-to-fail, Conditional Value at Risk, quantile regression, tail risk

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