CONTRIBUTION TO SYSTEMIC RISK OF THE EUROPEAN BANKING GROUPS WITH SUBSIDIARIES IN CENTRAL AND EASTERN EUROPE

This paper investigates the systemic risk within banking groups from the Euro zone with subsidiaries in Central and Eastern Europe during the 2001-2010 period. In order to capture the extreme movements we have modeled the data through tail risk measures and semi-parametric quantile regression. The results show that systemic risk is time-varying in respect with each bank individual risk and a set of indices representative for the European financial markets. Risk measures are higher and more volatile after the 2008 financial crisis, in comparison with the pre-crisis period. Greek banks have the largest contribution to systemic risk, followed by banks from France, Italy and Germany.