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Title: Systemic risk contribution and bank business models Authors:  Federico Nucera - Luiss Guido Carli (Italy) [presenting]
Andre Lucas - VU University Amsterdam (Netherlands)
Julia Schaumburg - VU University Amsterdam (Netherlands)
Bernd Schwaab - European Central Bank (Germany)
Abstract: A novel observation-driven dynamic finite mixture model is proposed for the study of high-dimensional banking data. A factor structure allows us to incorporate many bank-level measurements. The model accommodates time-varying component means and covariance matrices, as well as normal and Student-t distributed mixture densities. In an empirical study of 208 European banks between 2008q1-2015q4, we identify six different business models and demonstrate that they differ in their contribution to systemic risk