Vulpes, Giuseppe; Brasili, Andrea - Volkswirtschaftliche Fakultät, … - 2006
The aim of this paper is to verify whether and to which extent co-movements in EU banks’ risk, i.e. their degree of … introduction of the euro and the process of European banking integration. To this end, we provide a measure of co-movements in bank …-to-Default, into three main components: an EU-wide, a country-specific and a bank-level idiosyncratic component. Our results show the …