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The Zero Risk Fallacy? Banks' Sovereign Exposure and Sovereign Risk Spillovers

Kirschenmann, Karolin - 2018

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/10012931492

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

Systemic risk in European banking : evidence from bivariate GARCH models

Schröder, Michael; Schüler, Martin - 2003

This paper attempts to assess the Europe-wide systemic risk in banking. We employ a bivariate GARCH model to estimate conditional correlations between European bank stock indices. These correlations are used as an indication for the interdependencies amongst the banking business in Europe and...

Persistent link: https://www.econbiz.de/10011448270

Do Foreign Banks Take More Risk? Evidence from Emerging Economies

Jeon, Bang Nam - 2016

riskiness from several perspectives, namely, foreign banks' informational disadvantages, agency problems, the contagion effect …

Persistent link: https://www.econbiz.de/10012996960

Economic Uncertainty and Bank Risk : Evidence from Emerging Economies

Jeon, Bang Nam - 2020

This paper examines the impact of economic uncertainty on the risk of banks, which is only underexplored in extant literature so far. Using bank-level panel data of approximately 1500 banks in 34 emerging economies during the period of 2000-2016, we find consistent and robust evidence that bank...

Persistent link: https://www.econbiz.de/10012847325

Diversification, Efficiency and Risk of Banks : Evidence From Emerging Economies

Wu, Ji - 2019

This paper examines the impact of business diversification of banks on their risk, with efficiency taken into consideration as a conduit. Using bank-level data from more than 1000 commercial banks in 39 emerging economies during the period of 2000-2016, we find that increased business...

Persistent link: https://www.econbiz.de/10012866697

Diversification, Efficiency and Risk of Banks : New Consolidating Evidence From Emerging Economies

Jeon, Bang Nam; Wu, Ji; Chen, Limei; Chen, Minghua - 2022

This paper examines the impact of business diversification of banks on their risk, with efficiency taken into consideration as a conduit. Using bank-level data from more than 1400 commercial banks in 39 emerging economies during 2000-2016, we find that increased business diversification exerts...

Persistent link: https://www.econbiz.de/10013292984

A critique on the proposed use of external sovereign credit ratings in Basel II

Kräussl, Roman - 2003

This paper deals with the proposed use of sovereign credit ratings in the Basel Accord on Capital Adequacy (Basel II) and considers its potential effect on emerging markets financing. It investigates in a first attempt the consequences of the planned revisions on the two central aspects of...

Persistent link: https://www.econbiz.de/10009765360

The European sovereign debt crisis : what have we learned?

Kräussl, Roman; Lehnert, Thorsten; Stefanova, Denitsa - 2017

This paper sets the background for the Special Issue of the Journal of Empirical Finance on the European Sovereign Debt Crisis. It identifies the channel through which risks in the financial industry leaked into the public sector. It discusses the role of the bank rescues in igniting the...

Persistent link: https://www.econbiz.de/10011588156

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