contagion which can be used to calibrate bank-specific capital and liquidity requirements and large exposures limits. We find … non-linear function of the combination of network structures and bank-specific characteristics …

This study establishes time-frequency networks of sovereign and bank contagion in the eurozone over the period 2009 …

has been formulated: in the post-crisis conditions the euro area remains vulnerable to the sovereign-bank nexus, which in … particular stems from the very legacy of the crisis, bank-based financial system, as well as incomplete reforms of the euro area … some progress in recent years, institutional reforms aimed at breaking the sovereign-bank nexus are far from complete. …

with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that …-linear function of the combination of network structures and bank-specific characteristics …

by euro zone member solvency issues. In this paper, we examine the contagion effects between sovereign and bank CDS … effects between sovereign vs. bank default risk. By contrast, since the sovereign debt crisis period we observe significant … dependencies between the regional sovereign CDS and the regional bank CDS in other regions, predominantly for the Asia-Pacific and …