The effects of mergers and acquisitions on acquiring banks' contribution to systemic risk

Van Dellen, S., Benamraoui, A., Ngo, H. and Salaber, Julie 2018. The effects of mergers and acquisitions on acquiring banks' contribution to systemic risk. 11th Edition of International Risk Management Conference (Risk Society). Paris, France 07 - 08 Jun 2018

TitleThe effects of mergers and acquisitions on acquiring banks' contribution to systemic risk
AuthorsVan Dellen, S., Benamraoui, A., Ngo, H. and Salaber, Julie
TypeConference paper
Abstract

This paper is the first to examine the effects of international bank mergers and acquisitions on acquirers' contribution to systemic risk covering also six years after the2007-09 global financial crisis. Our sample consists of 608 international bank mergers involved domestic and cross-border mergers as well as bank and non-bank targets. Using the marginal expected shortfall as well as conditional value-at-risk as systemic risk measurement, we find that on average, mergers do not impact on the acquiring banks’ contribution to systemic risk regardless of the increased potential for risk diversification exhibited by cross-border and cross-industry bank mergers. However, for deals financed by cash only and much smaller compared to acquirers as well as involved private targets, acquirers' contribution to systemic risk increase after the merger.

Keywordsmergers and acquisitions
systemic risk
banking
marginal expected shortfall
conditional Value-at-risk
Year2018
Conference11th Edition of International Risk Management Conference (Risk Society)
Accepted author manuscript

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