Bruyckere, Valerie De; Gerhardt, Maria; Schepens, Glenn; … - Nationale Bank van België/Banque national de Belqique (BNB) - 2012
This paper investigates contagion between bank risk and sovereign risk in Europe over the period 2006-2011. Since this … period covers various stages of the banking and sovereign crisis, it offers a fertile ground to analyze bank/sovereign risk … explained by common factors, using CDS spreads at the bank and at the sovereign level. Moreover, we investigate the determinants …