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Measuring connectedness of Euro area sovereign risk

Buse, Rebekka; Schienle, Melanie - 2015

We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those...

Persistent link: https://www.econbiz.de/10010503874

Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives

Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018

Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....

Persistent link: https://www.econbiz.de/10011888333

Measuring connectedness of euro area sovereign risk

Buse, Rebekka; Schienle, Melanie - 2019

We introduce a method for measuring default risk connectedness of euro zone sovereign states using credit default swap (CDS) and bond data. The connectedness measure is based on an out-of-sample variance decomposition of model forecast errors. Due to its predictive nature, it can respond more...

Persistent link: https://www.econbiz.de/10011958223

Flight patterns and yields of European Government Bonds

Schweinitz, Gregor von - 2013

möglicherweise problematischen Strukturbruch zurückzugreifen. Als Haupteffekte werden Kreditrisiko und flight …

Persistent link: https://www.econbiz.de/10009771035

Making the Eurozone work : a risk-sharing reform of the European Stability Mechanism

Dosi, Giovanni; Minenna, Marcello; Roventini, Andrea; … - 2018

This work presents an original proposal for the reform of the Eurozone architecture according to an approach based on … new ESM would support the full transition from national debts to a single Eurozone public debt (e.g. Eurobonds) with a …

Persistent link: https://www.econbiz.de/10011873820

Regime-dependent sovereign risk pricing during the euro crisis

Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - 2016

Previous work has documented a greater sensitivity of long-term government bond yields to fundamentals in Euro area stress countries during the euro crisis, but we know little about the driver(s) of regime-switches. Our estimates based on a panel smooth threshold regression model quantify and...

Persistent link: https://www.econbiz.de/10011974869

Sovereign contagion in Europe : evidence from the CDS market

Manasse, Paolo; Zavalloni, Luca - 2013

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …

Persistent link: https://www.econbiz.de/10011731038

Quantifying the transmission of European sovereign default risk

Dumitru, Ana-Maria H.; Holden, Tom D. - 2019

We build a non-stationary Hawkes model of sovereign credit risk for seven European countries, and estimate it on CDS data from the run-up to the Greek default. We model a country's credit risk as partly driven by a weighted combination of risks across countries. We find Spain and Portugal are...

Persistent link: https://www.econbiz.de/10012063227

Sovereign bond spreads and credit sensitivity

Schefer, Ricardo - 2020

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because they have no contractual claims to defined assets and samples of defaults are limited. A geometric version of credit spread is used to derive expected payments, dependent on...

Persistent link: https://www.econbiz.de/10012307696

The zero risk fallacy? : banks' sovereign exposure and sovereign risk spillovers

Kirschenmann, Karolin; Korte, Josef; Steffen, Sascha - 2017

European banks are exposed to a substantial amount of risky sovereign debt. The "missing bank capital" resulting from the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign CDS spreads and facilitates cross-border...

Persistent link: https://www.econbiz.de/10011764975