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Analyzing credit risk transmission to the non-financial sector in Europe : a network approach

Gross, Christian; Siklos, Pierre L. - 2018

Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...

Persistent link: https://www.econbiz.de/10011978741

Analyzing credit risk transmission to the non-financial sector in Europe : a network approach

Gross, Christian; Siklos, Pierre L. - 2019

Persistent link: https://www.econbiz.de/10012223991

Volatility connectedness of bank stocks across the Atlantic

Yılmaz, Kamil - 2014

This paper presents an analysis of the dynamic measures of volatility connectedness of major bank stocks in the US and … direction of the volatility connectedness was from the US banks towards the EU banks. However, once the financial crisis became … global in the last quarter of 2008, volatility connectedness became bi-directional. The surge in volatility connectedness …

Persistent link: https://www.econbiz.de/10010239322

COVID-19 and tail-event driven network risk in the eurozone

Toan Luu Duc Huynh; Foglia, Matteo; Doukas, John A. - In: Finance research letters 44 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014494902

Analyzing credit risk transmission to the non-financial sector in Europe : a network approach

Gross, Christian; Siklos, Pierre L. - 2019

Persistent link: https://www.econbiz.de/10012317318

Mapping bank securities across euro area sectors : comparing funding and exposure networks

Hüser, Anne-Caroline; Kok Sørensen, Christoffer - 2019

We present new evidence on the structure of euro area securities markets using a multilayer network approach. Layers are broken down by key instruments and maturities as well as the secured nature of the transaction. This paper utilizes a unique dataset of banking sector crossholdings of...