Baglioni, Angelo; Cherubini, Umberto - In: Journal of International Money and Finance 32 (2013) C, pp. 990-1007
We propose a new index for measuring the systemic risk of default of the banking sector, which is based on a homogeneous version of multivariate intensity based models (Cuadras–Augé distribution). We compute the index for 10 European countries, exploiting the information incorporated in the...