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Contagion Effects between Sovereign and Bank Credit Spreads – A Global Analysis of Interdependencies between Sovereign and Bank CDS Spreads
Lahmann, Wolfgang - 2012
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 …
Persistent link: https://www.econbiz.de/10013111635
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Modeling and simulating cross country banking contagion risks
Zedda, Stefano; Spinace-Casale, Antonella - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-16
The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive effects. In this paper, by modeling and simulating banking system behavior and linkages across countries, we assess, based on data from the BIS and IMF, the possible outcome of...
Persistent link: https://www.econbiz.de/10012626421
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The European sovereign debt crisis : what have we learned?
Kräussl, Roman; Lehnert, Thorsten; Stefanova, Denitsa - 2016
Persistent link: https://www.econbiz.de/10011565485
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Sovereign credit risk co-movements in the eurozone : simple interdependence or contagion? ; conference paper
Buchholz, Manuel; Tonzer, Lena - 2014
Since the onset of the eurozone sovereign debt crisis, credit risk spreads in Europe have diverged. Despite this divergence, credit risk comoves strongly within certain country groups such as the eurozone periphery. We seek to answer what the determinants of the observed pattern of credit risk...
Persistent link: https://www.econbiz.de/10010486057
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The European sovereign debt crisis : what have we learned?
Kräussl, Roman; Lehnert, Thorsten; Stefanova, Denitsa - 2017
the role of the bank rescues in igniting the sovereign debt crisis and reviews approaches to detect early warning signals …
Persistent link: https://www.econbiz.de/10011588156
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Measuring systemic risk contagion effect of the banking industry in China : a directed network approach
Ouyang, Zi-Sheng; Huang, Ying; Jia, Yun; Luo, Chang-Qing - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 6, pp. 1312-1335
Persistent link: https://www.econbiz.de/10012211637
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Return volatilities and contagion transmission between Islamic and conventional bankers throughout the subprime crisis : evidence from the DCC-MGARCH model
Fakhfekh, Mohamed; Hachicha, Nejib - In: International journal of managerial and financial accounting 6 (2014) 2, pp. 133-145
Persistent link: https://www.econbiz.de/10010483052
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Banking crises and contagion : why worry about taxation, output and the cost of capital?
Polyzos, Stathis; Samitas, Aristeidis - In: Investment management and financial innovations 12 (2015) 2, pp. 65-79
Persistent link: https://www.econbiz.de/10011500151
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Can bank be a cause of contagion during the global financial crisis?
Selmi, Nadhem; Hachicha, Nejib - In: International journal of economics and financial issues … 4 (2014) 2, pp. 353-362
Persistent link: https://www.econbiz.de/10010520032
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Drivers of cross-border banking exposures during the crisis
Cerutti, Eugenio M. - In: Journal of banking & finance 55 (2015), pp. 340-357
Persistent link: https://www.econbiz.de/10011379105