framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area …. Spillovers are estimated recursively from a vector autoregressive model of daily CDS spread changes, with exogenous common … transmission from or to sovereigns and banks are aggregated as a Contagion Index (CI). This index is disentangled into four …

both cross-country spill-overs and contagion are important factors for driving financial crises. A parsimonious model with … models for financial crises that take into account cross-country spill-overs of vulnerabilities. The empirical results show …

This paper provides an empirical assessment of interdependence and contagion across three asset classes (bonds, stocks …. For emerging economies, these within-market effects mostly apply to the equity market. Contagion effects within-market are … most notable in Latin America and Emerging Asia for equities. Cross-market contagion is identified from global bonds to …

This paper presents time-varying contagion indices of credit risk spillover and feedback between 64 financials and …-identification of contagion between financials' true credit risk and sovereign credit risk is avoided 1) by controlling for common … contagion and feedback. The institutions identified as most central to the network during those episodes are known to have …

framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area …. Spillovers are estimated recursively from a vector autoregressive model of daily CDS spread changes, with exogenous common … transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four …

We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk …. This incentive problem limits the capacity to share risks and generates endogenous counterparty risk. Optimal hedging can … therefore lead to contagion from news about insured risks to the balance sheet of insurers. Such endogenous risk is more likely …

volatility: first, low rates (mechanically) augment the excess return to be gained by investing in riskier assets and second, they … are found to dampen volatility of riskier assets in the portfolio. The inverse relationship between portfolio instability …

Overlapping portfolios constitute a well-recognised source of risk, providing a channel for financial contagion induced … system of banks and investment funds is then assessed by considering contagion between individual institutions’ portfolio …