default. Specifically, we develop an empirical model, based on the recent theoretical literature on contagion in financial …

the including credit "outlook" or "watch" signals by credit rating agencies. In addition, contagion from rating downgrades …

This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major … eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian … their sovereign debt and fiscal situations. Thus, the integration among the different eurozone countries is stable, and the …

contagion. We propose a simple framework that accounts for how this effect adds up across the banking sector. Our framework …

This paper analyzes the contagion effects associated with the failure of Silicon Valley Bank (SVB) and identifies bank …