Bank contribution to financial sector systemic risk and expected returns: Evidence from large U.S. banks
We estimate the contribution of large U.S. banks to the financial sector systemic risk by using value-at-risk (VaR), conditional value-at-risk (CoVaR), and two-stage least square (2SLS) methodology. Our sample is the monthly stock returns of 25 large U.S. banks from 1997 to 2021. We find that banks...
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| Format: | Article |
| Language: | English |
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Elsevier
2023-01-01
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| Series: | Borsa Istanbul Review |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845022000862 |