developments in banks’ balance sheets, profitability and risk-bearing capacity and analyses their relevance for monetary policy. We …As the euro area has a predominantly bank-based financial system, changes in the composition and strength of banks …

capture differences in credit market integration by variations in the cost for banks to grant credit for cross …This paper shows that currency arrangements impact on credit available through default incentives. To this end we build … a symmetric two-country model with money and imperfect credit market integration. With the Euro Area context in mind, we …

experienced pronounced credit booms at the same time that these imbalances were building up, this paper investigates the link … between domestic credit developments and the current account balance. Using a panel error correction specification, the …

Covered bonds have emerged as a potential funding vehicle from the credit crisis. However, there is no detailed …. A Triggered Refreshed CDO is one where replacement is triggered by a credit event other than default, e.g. downgrade … with Issuer Risk.We provide analytic pricing for Triggered Refreshed CDOs with or without Issuer Risk, i.e. covered bonds …

Draghi's 'whatever it takes' speech. Bank risk played a role in enhancing sovereign risk. However, the systemic impact of … banks changes rapidly once a crisis strikes, rendering the ex-ante determination of which banks are systemic and which banks …

Exploiting a 2014 change in credit default swap (CDS) contracts on European banks, we introduce a measure of market … expectation of European government support for distressed banks. CDS contract terms were changed to cover losses from “government … intervention” and related bail-in events. For many large European banks, subordinated CDS spreads are available under both the old …

them to quarterly credit risk data. The empirical results shows strong connectedness and comovement between country …We analyze the interconnection between the sovereign and banking sector risk in the peripheral euro area countries over … risk (incorporating both market and balance sheet based information) and assess their interconnection in comparison with …

representative set of banks over the period 2004-Q4 to 2013-Q2. The indices provide an intuitive, forward-looking and timely risk … Monetary Union (EMU), this paper tries to estimate the banking sector risk behavior at country level. Based on contingent claim …

This paper analyzes the determinants of empirical credit default swap (CDS) spreads of European banks based on two …) is a statistically significant and economically important credit risk factor from the KMV structural model. The panel …

Following the 2008-9 financial crisis, large banks increasingly issued contingent convertible bonds (CoCo bonds) to … CoCo bonds provides the same reduction in bank default risk as the corresponding issuance of common equity by analyzing the … premium reduction in (single name) credit default swaps (CDS) around the corresponding issuance announcement events. We find …