. Further, the paper proposes a simple metric, which is used to identify contagion from one bank to another and identify …

financial institutions. In this paper, we put the joint response of euro area bank and sovereign CDS premia under the microscope …. We find that the bank rescue packages led to a clear structural break in these premia's comovement, which had been rather … to any further aggravation of the crisis. At the same time, the sensitivity of bank credit risk premia declined and …

monetary policy actions of the European Central Bank (ECB). In particular, this paper focuses on the asymmetries in bond market …This paper uses data on German government bond futures options to examine the behaviour of market expectations around … expectations, as measured by the skewness of option-implied probability distributions of future bond yields. The results show that …