Key Macroeconomic Drivers of Bank Capital Stability Amid Crises and War
This paper conducts a comprehensive cross-sectional analysis of systemic risk and its influence on the total capital ratios (TCRs) of 120 systemically important European banks. By combining panel models with an asymmetric ΔCoVaR-based systemic risk measurement, the study explores the complex interplay of 50 exogenous a...