期刊名称：International Journal of Academic Research in Accounting, Finance and Management Sciences
印刷版ISSN：2308-0337
电子版ISSN：2225-8329
出版年度：2016
卷号：6
期号：3
页码：96-109
语种：English
出版社：Human Resource Management Academic Research Society
摘要：This paper aims to estimate the effects of contagion on the Romanian commercial banks during period 2008 – 2015, by using the CoVaR methodology. The motivation in choosing this topic is represented by the fact there is little research on systemic risk and contagion in the Romanian banking sector. The results of this paper highlight that the largest contribution to the daily losses of Romanian banking system is given by BCR, while the lowest contribution is given by BCC. Moreover, we analysed the impact of the main financial indicators on systemic risk contribution. Based on this, we saw that financial leverage, size, risk and market to book value have a significant impact on systemic risk contribution of commercial banks.
