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financial sector and factors that explain why these strains lead to system-wide contagion and a possible credit crunch. Most of … that a financial crisis with its contagion within the system is caused by failures of legal, regulatory and political … crises would be reduced if appropriate institutions could be put in place Lacking appropriate institutions to avoid contagion …
Persistent link: https://www.econbiz.de/10010320249
This paper decomposes the explained part of the CDS spread changes of 31 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to...
Persistent link: https://www.econbiz.de/10011506710
This paper analyzes the contagion effects associated with the failure of Silicon Valley Bank (SVB) and identifies bank …
Persistent link: https://www.econbiz.de/10014540982
We study the functioning of secured and unsecured inter-bank markets in the presence of credit risk. The model generates empirical predictions that are in line with developments during the 2007-2009 financial crises. Interest rates decouple across secured and unsecured markets following an...
Persistent link: https://www.econbiz.de/10011605153
This paper examines common regulation as cause of interbank contagion. Studies based on the correlation of bank assets … and the extent of interbank lending may underestimate the likelihood of contagion because they do not incorporate the fact …
Persistent link: https://www.econbiz.de/10011605242
of last resort and other safety net issues. We devote particular emphasis to the analysis of systemic risk and contagion …
Persistent link: https://www.econbiz.de/10010264351
of individual bond markets in recent years has been impressive, the threat of financial contagion to emerging Asian bond …
Persistent link: https://www.econbiz.de/10010507534
Persistent link: https://www.econbiz.de/10010323613
The financial integration in Europe concentrates on cross-border mergers rather than cross-border lending and emphasizes the need for harmonizing bank regulation and supervision. We study the impact of cross-border lending in a theoretical model where banks acquire either hard or soft...
Persistent link: https://www.econbiz.de/10010264346
Persistent link: https://www.econbiz.de/10014306476