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Contagion Effects between Sovereign and Bank Credit Spreads – A Global Analysis of Interdependencies between Sovereign and Bank CDS Spreads
Lahmann, Wolfgang - 2012
by euro zone member solvency issues. In this paper, we examine the contagion effects between sovereign and bank CDS … dependencies between the regional sovereign CDS and the regional bank CDS in other regions, predominantly for the Asia-Pacific and … European sovereign risk. Conversely, we also find that changes in certain regional bank CDS impact on the sovereign CDS in …
Persistent link: https://www.econbiz.de/10013111635
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Sovereign credit risk co-movements in the eurozone : simple interdependence or contagion? ; conference paper
Buchholz, Manuel; Tonzer, Lena - 2014
multivariate GARCH model to sovereign CDS spreads of 17 countries over the period 2008 to 2012. Second, we separate periods of …
Persistent link: https://www.econbiz.de/10010486057
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Modeling and simulating cross country banking contagion risks
Zedda, Stefano; Spinace-Casale, Antonella - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-16
The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive effects. In this paper, by modeling and simulating banking system behavior and linkages across countries, we assess, based on data from the BIS and IMF, the possible outcome of...
Persistent link: https://www.econbiz.de/10012626421
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Models of financial stability and their application in stress tests
Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - 2017
We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is possible to compute an equilibrium, this approach...
Persistent link: https://www.econbiz.de/10011906282
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The shifts and the shocks : bank risk, leverage, and the macroeconomy
Kuvshinov, Dmitry; Richter, Björn; Zimmermann, Kaspar - 2022
This paper studies the long-run evolution of bank risk and its links to the macroeconomy. Using data for 17 advanced economies, we show that the riskiness of bank assets declined materially between 1870 and 2016. But even though bank assets have become safer, the losses on these assets are...
Persistent link: https://www.econbiz.de/10013265941
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Sovereign and Bank Contagion in the Eurozone : A Multi-Scale Approach using Wavelet-Network Analysis
Bales, Stephan - 2022
-2021. By applying discrete wavelet transformation, daily CDS premia of sovereigns and banks are decomposed into multi …
Persistent link: https://www.econbiz.de/10013292566
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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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Systemic risk : time-lags and persistence
Kubitza, Christian; Gründl, Helmut - 2016 - This version: May 2016
Common systemic risk measures focus on the instantaneous occurrence of triggering and systemic events. However, systemic events may also occur with a time-lag to the triggering event. To study this contagion period and the resulting persistence of institutions' systemic risk we develop and...
Persistent link: https://www.econbiz.de/10011478661
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LIBOR : origins, economics, crisis, scandal, and reform
Hou, David; Skeie, David - 2014
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....
Persistent link: https://www.econbiz.de/10010393220
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Systemic Risk and Financial Market Contagion : Banks and Sovereign Credit Markets in Eurozone
Bratis, Theodore D. - 2015
euro debt crisis era, focuses on addressing the co-movement of credit risk measured by Credit Default Swap (CDS) spreads in …
Persistent link: https://www.econbiz.de/10013022898