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 … conditional correlations between European bank stock indices. These correlations are used as an indication for the …

on granular balance sheet and interbank exposure data of the Canadian banking market. First, we document that contagion …We evaluate the effects of contagion and common exposure on banks' capital through a regression design inspired by the … structural VAR literature and derived from the balance sheet identity. Contagion can occur through direct exposures, fire sales …