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Regime-dependent sovereign risk pricing during the euro crisis

Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - In: Review of finance : journal of the European Finance … 21 (2017) 1, pp. 363-385

Persistent link: https://www.econbiz.de/10011778601

Regime-Dependent Sovereign Risk Pricing During the Euro Crisis

Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - 2021

Previous work has documented a greater sensitivity of long-term government bond yields to fundamentals in Euro area … stress countries during the euro crisis, but we know little about the driver(s) of regimeswitches. Our estimates based on a …

Persistent link: https://www.econbiz.de/10013248886

The Zero Risk Fallacy? Banks' Sovereign Exposure and Sovereign Risk Spillovers

Kirschenmann, Karolin - 2018

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 CDS spreads and facilitates cross-border...

Persistent link: https://www.econbiz.de/10012931492

The SSM at 1

Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016

On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...