Kirschenmann, Karolin; Korte, Josef; Steffen, Sascha - 2017
European banks are exposed to a substantial amount of risky sovereign debt. The "missing bank capital" resulting from … the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign … consider the trade-off of benefits of sovereign debt (for banks and sovereigns) and spillover risk when applying risk …