This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a … bank. We find evidence in favour of significant cross-border contagion. We also find some evidence that since the … introduction of the euro cross-border contagion may have increased. The results seem to be very robust to changes in the …

analyzes the implications of the euro for cross-border banking activities. A portfolio model is used which captures the role of …

This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US … finding market-based indicators in order to analyze the effects of crises and to quantify the risk of contagion. The Distance … coexceedances allows to interpret significant coefficients of foreign lagged coexceedances as contagion. The main finding is that …

contagion among large EU banks. Banks’ risk is measured by the first difference of weekly distances to default and abnormal …. Further, the paper proposes a simple metric, which is used to identify contagion from one bank to another and identify …

, through the integration of financial markets and institutions, as well as the establishment of the Single European Banking …

financial institutions. This paper reviews the stylized facts of the integration of European banking markets and the changing … nature of cross-border banking. Although the openness of financial systems has increased, bilateral financial linkages among …

This paper attempts to assess the Europe-wide systemic risk in banking. We employ a bivariate GARCH model to estimate … interdependencies amongst the banking business in Europe and hence for the systemic risk potential. We employ several tests to assess … European banking business have become more similar and that the systemic risk potential has increased. …