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Systemic risk and sovereign debt in the Euro area

Radev, Deyan - 2013

We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign debtors. We apply our measure to examine the fragility of the European...

Persistent link: https://www.econbiz.de/10010226548

Sovereign credit risk co-movements in the eurozone : simple interdependence or contagion? ; conference paper

Buchholz, Manuel; Tonzer, Lena - 2014

have been subject to contagion. We proceed in three steps. First, we apply dynamic conditional correlations from a … simple interdependence from contagion. Third, we analyze the determinants behind credit risk co-movements and the role of … contagion using regression analysis. Our results reveal a high degree of co-movements in sovereign credit risk, especially for …

Persistent link: https://www.econbiz.de/10010486057

The zero risk fallacy? : banks' sovereign exposure and sovereign risk spillovers

Kirschenmann, Karolin; Korte, Josef; Steffen, Sascha - 2017

European banks are exposed to a substantial amount of risky sovereign debt. The "missing bank capital" resulting from the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign CDS spreads and facilitates cross-border...

Persistent link: https://www.econbiz.de/10011764975

Bank bailouts and bank-sovereign risk contagion channels

Stângă, Irina M. - In: Journal of international money and finance 48 (2014), pp. 17-40

Persistent link: https://www.econbiz.de/10010464008

Bank-sovereign contagion in the Eurozone : a panel VAR Approach

Georgoutsos, Demetris A.; Moratis, George - In: Journal of international financial markets, … 48 (2017), pp. 146-159

Persistent link: https://www.econbiz.de/10011892343

How important was contagion through banks during the European sovereign crisis?

Gonçalves, Andrei S. - 2017

positive shocks, which creates moral hazard and is best explained by a “too-systemic-to-fail” effect. The contagion effects are … economically significant contagion channel for tail spread increases …

Persistent link: https://www.econbiz.de/10011963385

Reforming the regulatory treatment of sovereign exposures in banking regulation

Sterzel, André - In: Credit and capital markets : Kredit und Kapital 53 (2020) 1, pp. 81-121

Persistent link: https://www.econbiz.de/10012510300

Negative feedback loop between banks and sovereigns in the euro area : experience of the crisis and post-crisis perspective

Stawasz-Grabowska, Ewa - In: Comparative economic research : Central and Eastern Europe 23 (2020) 3, pp. 41-61

The euro area crisis was characterised by a negative feedback loop between banks and sovereigns. The paper aims to indicate the genesis of this phenomenon and to determine the scale of its operation during the crisis and post-crisis conditions, as well as to identify the threats it brings. In...

Persistent link: https://www.econbiz.de/10012417814

Capital requirements for government bonds : implications for bank behaviour and financial stability

Neyer, Ulrike; Sterzel, André - 2017

This paper analyses whether the introduction of capital requirements for bank government bond holdings increases financial stability by making the banking sector more resilient to sovereign debt crises. Using a theoretical model, we show that a sudden increase in sovereign default risk may lead...

Persistent link: https://www.econbiz.de/10011755580

Macroprudential regulation under repo funding

Valderrama, Laura - In: Journal of financial intermediation 24 (2015) 2, pp. 178-199

Persistent link: https://www.econbiz.de/10011387647