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, represents about half of total bank credit risk on average, and induces high risk premia. Further, the results suggest that … sovereign and bank systemic risk are particularly interlinked in the UK …
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much of banks' credit risk is systemic. We find that the US and UK differ not only in the evolution of bank systemic risk …, represents about half of total bank credit risk on average, and induces high risk premia. The results suggest that sovereign and … bank systemic risk are increasingly interlinked in the UK …
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