protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not … building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk …

protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not … building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk …

-performing loans (NPLs) on bank cost of capital, credit and liquidity creation in the Eurozone. Empirical results confirm the model …-term. Moreover, the increased cost of capital reduces credit and liquidity creation, and the more so the less capitalized is the bank …

protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not … building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk. …

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 …

With the recent development of the European debt crisis, traditional index bond management has been severely called …-budgeting approach is the most appropriate scheme to manage sovereign risk in bond portfolios and gives very appealing results with … respect to active management of bond portfolios …

The positive relationship between bank and sovereign credit risk in the Eurozone, the so-called sovereign-bank nexus …, is seen as a major threat for the stability of the Eurozone. This paper explores potential bank-level and country … as countries' high debt-to-GDP ratios and low perceived government effectiveness are positively related to the sovereign-bank …

of Merton-type models can be used to measure bank risk, and then examine the link between various risk measures and …

Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … sovereign bond portfolios of the major European banks. First, we capture the dependence structure of European countries … analysis. We then analyse the risk and diversification in the sovereign bond portfolios of the largest European banks and …