What Factors Drive Systemic Risk during International Financial Crises

摘要: We analyze the determinants of contribution international banks to both global and local systemic risk during prominent financial crises. find no empirical evidence supporting hypotheses that bank size, leverage, non-interest income or quality bank’s credit portfolio are persistent across In contrast, our results show in particular is predominantly driven by characteristics regulatory regime. also confirm, for subprime crisis, hypothesis banks’ moderately bad tail events past predicts sector’s crash risk.