spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral … magnitude and direction of real-sector risk transmission across European countries. While risk transmission to the non …-financial sector increases during crisis events, risk transmission within the non-financial sector remains largely unchanged. …

spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral … magnitude and direction of real-sector risk transmission across European countries. While risk transmission to the non …-financial sector increases during crisis events, risk transmission within the non-financial sector remains largely unchanged. …

This paper designs a systemic risk measure for the European banking system as a hypothetical distress insurance premium … (DIP), which integrates economically the main characteristics of systemic risk — size, default probability, and … interconnectedness. We further identify the individual contributions of 58 major European banks to the systemic risk measure. We find …

We propose a hypothetical distress insurance premium (DIP) as a measure of the European banking systemic risk, which … risk of European banks reached its height in late 2011 around € 500 billion. We find that the sovereign default spread is … the factor driving this heightened risk in the banking sector during the European debt crisis. The methodology can also be …