network. Systemic risk within the northern euro area banking system is less apparent, while the southern euro area banking …We investigate systemic risk and how financial contagion propagates within the euro area banking system by employing … the Maximum Entropy method. The study captures multiple snapshots of a dynamic financial network and uses counterfactual …

controlling contagion in case of complete information about an interbank network, we augment the model with three plausible types … network of 373 banks. On the basis of an exogenous shock leading to defaults of some banks in the network, we find that the … modelling framework could be used both as a crisis management tool to help inform decisions on capital/liquidity infusions in …

This paper investigates liquidity spillovers between the US and European interbank market during turbulent and tranquil … propagation of liquidity shocks within the interbank market, while predicting liquidity crashes characterised by changed dynamics …. We show that liquidity shocks, originating from movements of the spread between the Asset Backed Commercial Paper and T …

Since the onset of the eurozone sovereign debt crisis, credit risk spreads in Europe have diverged. Despite this … divergence, credit risk comoves strongly within certain country groups such as the eurozone periphery. We seek to answer what the … determinants of the observed pattern of credit risk co-movements are and whether and during which periods sovereign debt markets …

visualized using network graphs. Our results support the view that market-implied spillover risks have decreased since the … yields did not show risk spreads that were as large as those in 2012 …

visualized using network graphs. Our results support the view that market-implied spillover risks have decreased since the … yields did not show risk spreads that were as large as those in 2012 …

controlling contagion in case of complete information about an interbank network, we augment the model with three plausible types … network of 373 banks. On the basis of an exogenous shock leading to defaults of some banks in the network, we find that the … modelling framework could be used both as a crisis management tool to help inform decisions on capital/liquidity infusions in …

versus foreign lenders. Crisis shocks reduce the supply of crossborder liquidity, with stronger volume effects than pricing … liquidity, but without fostering strong cross-border financial reintegration. …

transactional level allows me to apply advanced panel methods. Furthermore, this paper shows liquidity hoarding during the pandemic …