Systemic Risk and Bank Consolidation: International Evidence

摘要: This paper analyzes the systemic risk effects of bank mergers to test "concentration-fragility" hypothesis. We use marginal expected shortfall as well lower tail dependence between a bank's stock returns and relevant sector index capture merger-related change in an acquirer's contribution risk. In our empirical analysis dataset international domestic cross-border mergers, we find clear evidence for significant increase merging banks', combined banks' their competitors' following thus confirming