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- W2549672009 abstract "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." @default.
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- W2549672009 date "2014-01-01" @default.
- W2549672009 modified "2023-09-23" @default.
- W2549672009 title "Contribution To Systemic Risk Of The European Banking Groups With Subsidiaries In Central And Eastern Europe" @default.
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