We propose a framework for estimation of spillovers between funding costs of individual banks. The estimation proceeds … in three steps: First, using data from liquidity auctions of the European Central Bank, we estimate the funding costs in … a given week for each individual bank. In the second step, we apply the adaptive elastic net (a LASSO type estimator) to …

dynamic network connectedness using rolling-window estimation. Statically, we find that global bank equity connectedness has a … the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and … Debt Crisis, and with movements coming mostly from changes in cross-country as opposed to within-country bank linkages …

banking groups. On this basis, the bail-in of a bank can be simulated to identify the direct contagion risk to the other banks …

run simulations of bank valuations and asset prices under a set of stress scenarios. …

. Upon the arrival of a signal about banks' future defaults, investors update their expectations of bank solvency. If their …