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This study aims to empirically identify how a bank’s board structure (size, indepen- dence, and members’ affiliations) and quality (experience, background, and skills) affect its risk incentives. Specifically, it investigates whether banks’ solvency and corporate governance nexus changed after the 2007–2009 financial crisis. We employ a cross-country sample of 239 commercial and publicly traded banks covering 1997– 2016 and a panel regression for 40 countries. We acknowledge a negative relationship between board size and bank stability and demonstrate that an independent board may have constrained rather than encouraged risk in banks. The global financial crisis has not changed much in the corporate governance and stability of banks nexus. These findings are robust even while controlling for a range of alternative sensitivity estima- tions for bank stability. This result indicates that in the aftermath of the market meltdown, we still need to strengthen corporate governance practices which may mitigate the adverse effects of the crisis on the banking sector. info:eu-repo/semantics/publishedVersion

The main goal of this research is to identify the direction and scale of connectedness of selected post-communist countries from Central and Eastern Europe (CEE) and major global and European sovereign bond markets, covering the period 2008–2020, including the COVID-19 pandemic. We verify the volatility spillovers in bond markets via directional method and dynamic conditional interconnectedness modelling perspectives. Unexpectedly, we discovered that CEE countries are more interlinked with each other than with global markets. Therefore, our results suggest that it is useful to look separately at advanced and developing bond markets in European countries, as it has a significant implication for bond's portfolio management.

We measure a systemic risk faced by European banking sectors using the CoVaR measure. We propose the conditional value-at-risk for measuring a spillover risk which demonstrates the bilateral relation between the tail risks of two financial institutions. The aim of the study is to estimate the contribution systemic risk of the bank i in the analyzed banking sector of a country in conditions of its insolvency. The study included commercial banks from 8 emerging markets from Europe, which gave a total of 40 banks, traded on the public market, which provided a market valuation of the bank’s capital. The conclusions are that the CoVaR seems to be a better measure for systemic risk in the banking sector than the VaR, which is more individual. And banks in developing countries in Europe do not provide significant risk for the banking sector as a whole. But it must be taken into account that some individuals that may find objectionable. Our results hence tend to a practical use of the CoVaR for supervisory purposes.

The goal of this study is to identify empirically how country-level development, taking into account the financial and macroeconomic environment, affect the risk profiles of the banking sector in Europe. Through a dataset that covers 3,399 European banks spanning the period 1996–2011, and the methodology of panel regression, the empirical findings document the heterogeneity of banking risk determinants. I examine the implications of bank leverage that manifest itself as spreading and growing instability. The study contributes to and combines the different strands of literature and understanding of the importance of the links between the variables. It also contributes to the literature by focusing on a group of countries from Central and Eastern Europe and the Commonwealth of Independent States that have not been studied before. The extended model provides a causal link between risk in the banking sector and the growth of the financial market and macroeconomy. I apply four measures of country-level development that are available in previous studies: share of foreign ownership in the banking sector; the financial freedom index; the real growth rate; and stock market capitalization. Using these measures, I obtain different results which highlight the fact that the effect of macroeconomic and financial development on banking sector risk-taking is ambiguous.

The object of the study is identification of the bond yields volatility in selected European countries, during the crisis of public finances of Greece from 2010 to 2013. For this purpose the GARCH (1.1) model was used. The specific aim of the study is determination of the so-called contagion effect in treasury bonds market. The analysis was conducted in two trials: 1) for the countries of Central and Eastern Europe, represented by the Czech Republic and Poland, 2) for developed countries – Austria and France. Celem badania jest identyfikacja zmienności spreadu kredytowego obligacji w wybranych krajach europejskich, w czasie kryzysu finansów publicznych Grecji w latach 2010–2013. W badaniu wykorzystano model GARCH (1.1). Szczególnym celem badania jest ustalenie: czy na rynku obligacji skarbowych mamy do czynienia z efektem zarażania? Analizę przeprowadzono w dwóch próbach: 1) dla krajów Europy Środkowej i Wschodniej, reprezentowanej przez Czechy i Polskę, 2) w krajach rozwiniętych – w Austrii i Francji.

The complex connections, spillovers and feedbacks of the global financial crisis remind how important it is to improve the analysis of risk modeling. This article introduces a new framework for mitigating systemic risk by using a risk-adjusted balance sheet approach. In this regard, the analysis of individual banks in Poland shows potential risk which could threaten all the financial system. Traditional banking models do not adequately measure risk position of financial institutions and cannot be used to understand risk within and between balance sheets in the financial sector. A fundamental subject is that accounting balance sheets do not indicate risk exposures, which are forward-looking. The paper concludes new directions for measuring systemic risk by using Merton’s model. It shows how risk management tools can be applied in new ways to measure and analyze systemic risk in the Polish banking system.