کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5089420 1375592 2010 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Is bank default risk systematic?
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Is bank default risk systematic?
چکیده انگلیسی

We evaluate the impact of commonly used indicators of bank distress on broad (i.e. sector and country) risks. This issue deserves special attention in the banking industry where there is a strong degree of interconnectedness among institutions and the default of a single bank may cause a cascading failure, which could potentially bankrupt the entire system. Using several measures of individual bank risk our results show that these measures have a direct impact on European banking (i.e. systemic) stock market risk. We also provide strong evidence suggesting that, for listed banks, default risk tends to be systematic (i.e. non-diversifiable).

► For listed banks, default risk contributes to increase systemic and systematic risks. ► Diversification and macroeconomic conditions influence systemic and systematic risks. ► Our results support on strengthening the support for macro prudential regulation.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 37, Issue 6, June 2013, Pages 2000-2010
نویسندگان
, ,