A Value-at-Risk analysis of banking acquisitions: evidence from the Eurozone


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2017 (EN)
A Value-at-Risk analysis of banking acquisitions: evidence from the Eurozone (EN)

Malamas, Alexandros - Georgios (EN)

Archontakis, Frangiskos (EN)
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance (EN)
Grose, Christos (EN)

The purpose of this paper is to assess the risk implications of banks in the changing structure of the Eurozone banking industry which in the last decade and so has shifted away from traditional expanding strategies. Based on a broad set of major bank Mergers and Acquisitions (M&As) in the European monetary union for the period 2000-2015, this current thesis raises and tackles the question which even regulators need answered and that is if M&As between commercial banks of the Eurozone member states have any significant effect in the Value-at-Risk figures of the acquiring banks’ share. A combination of various VaR calculation methods and event studies are applied in order to answer safely the hypothesis in question and that any findings originate from the events examined and not from random movements of the market. The results found, are somewhat similar in vein with the previous research done in the field, and show that the VaR of the acquirers is indeed effected by the acquisition deals. (EN)


Διεθνές Πανεπιστήμιο της Ελλάδος (EL)
International Hellenic University (EN)



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