This paper investigates the impact of corporate governance on European bank performance during the period 2002-2011. Using a sample of 73 banks from 11 European countries, we examine the relationship between corporate governance measures more specifically the board size and composition, the gender diversity and the CEO duality on the European bank performance. During the period 2002-2011, our results show that the board size and the gender diversity have a positive and significant impact on bank performance. Large board of directors with more female members led to better bank performance, whereas, the board composition and the CEO duality have no significant effect in explaining the bank performance for the European countries. During the global financial crisis, our findings show that the board size and the board composition are negatively and significantly correlated to the bank performance. Smaller boards of directors with less number of independent (non-executive) directors have outperformed the ones with larger boards and more independent directors during the crisis. However, the gender diversity and the CEO duality have no significant impact on the European bank performance.

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Failures in governance, especially in regard to boards of directors, have been blamed for the [2007][2008] financial crisis. The increased public scrutiny regarding the actions and role of the board of directors in banks, following the crisis, inspires to examine whether and to what extent the characteristics of banks' boards influence their performance in the crisis. Using a sample of 72 publicly listed European banks, we find that banks with more independent and busy boards experienced worse stock returns during the crisis.Conversely, the better performing banks had more banking experts serving as supervisory directors.Additionally, we find that gender and age diversity improved banks' performance during the crisis; hence, diversity matters. We also construct a governance quality index on the basis of board characteristics and conclude that governance quality positively affects banks' returns during the crisis. Overall, we find evidence that banks' performance during the financial crisis is a function of their boards' characteristics.

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This paper presents the first methodological proposal of estimation of the ΛVaR. Our approach is dynamic and calibrated to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk measures. We also propose a simple backtesting methodology by extending the VaR hypothesis-testing framework. Hence, we test our ΛVaR proposals under extreme downward scenarios of the financial crisis and different assumptions on the profit and loss distribution. The findings show that our ΛVaR estimations are able to capture the tail risk and react to market fluctuations significantly faster than the VaR and expected shortfall. The backtesting exercise displays a higher level of accuracy for our ΛVaR estimations.