Systemic risk and bank business models

Maarten van Oordt*, Chen Zhou

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

12 Citations (Scopus)


In this paper, we decompose banks' systemic risk into two dimensions: the risk of a bank (“bank tail risk”) and the link of the bank to the system in financial distress (“systemic linkage”). Based on extreme value theory, we estimate a systemic risk measure that can be decomposed into two subcomponents reflecting these dimensions. Empirically, we assess the relationships of bank business models to the two dimensions of systemic risk. The observed differences in these relationships partly explain why micro- and macroprudential perspectives sometimes have different implications for banking regulation.

Original languageEnglish
Pages (from-to)365-384
Number of pages20
JournalJournal of Applied Econometrics
Issue number3
Publication statusPublished - 1 Apr 2019


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