This paper attempts to answer the question whether the threat of systemic risk in banking exists only on a national or on a European level. Following De Nicolo and Kwast (2001), mean rolling-window correlations between bank stock returns are used as a measure for interdependencies among European...

This paper attempts to answer the question whether the threat of systemic risk in banking exists only on a national or on a European level. Following De Nicolo and Kwast (2001), mean rolling-window correlations between bank stock returns are used as a measure for interdependencies among European...

The systemic risk potential in the European banking market has increased. Hence, the following questions emerge: Is there a need for a truly European supervisory framework? And, how should a potential European supervisor be organised? This paper evaluates the existing supervisory framework as...

This paper attempts to assess the Europe-wide systemic risk in banking. We employ a bivariate GARCH model to estimate conditional correlations between European bank stock indices. These correlations are used as an indication for the interdependencies amongst the banking business in Europe and...

This paper attempts to answer the question whether the threat of systemic risk in banking exists only on a national or on a European level. Following De Nicolo and Kwast (2001), mean rolling-window correlations between bank stock returns are used as a measure for interdependencies among European...

This paper attempts to answer the question whether the threat of systemic risk in banking exists only on a national or on a European level. Following De Nicolo and Kwast (2001), mean rolling-window correlations between bank stock returns are used as a measure for interdependencies among European...

This paper attempts to assess the Europe-wide systemic risk in banking. We employ a bivariate GARCH model to estimate conditional correlations between European bank stock indices. These correlations are used as an indication for the interdependencies amongst the banking business in Europe and...

This paper attempts to answer the question whether the threat of systemic risk in banking exists only on a national or on a European level. Following De Nicolo and Kwast (2001), mean rolling-window correlations between bank stock returns are used as a measure for interdependencies among European...

This paper attempts to assess the Europe-wide systemic risk in banking. We employ a bivariate GARCH model to estimate conditional correlations between European bank stock indices. These correlations are used as an indication for the interdependencies amongst the banking business in Europe and...