valuable tool for analyzing risk from complementary perspectives; thereby allowing the measurement of (i) common distress of … risk factors in a portfolio, (ii) distress between specific risk factors, and (iii) distress to a portfolio related to a … by Asian and European banks. The results also show that Asian banks seem to experience the most persistence of distress …

persistence of systemic risk surrounding "the great recession"; (2) it quantifies the reaction of the macro-economy to financial … framework for identifying and modeling their joint-tail distributions, and by constructing an aggregate system-wide distress … index, a risk-stability index, which quantifies the systemic risk of a bank. …

What are the macroeconomic implications of changes in sovereign risk premia? In this paper, I use a novel … sovereign risk premia were an important driver of the economic dynamics of crisis-hit countries, explaining 30-50% of the … forecast error of unemployment. I also shed light on the mechanisms through which this occurs. Fluctuations in sovereign risk …

This paper investigates and tests the role of regional exposures in financial contagion from advanced to emerging …

What are the macroeconomic implications of changes in sovereign risk premia? In this paper, I use a novel … sovereign risk premia were an important driver of the economic dynamics of crisis-hit countries, explaining 30-50% of the … forecast error of unemployment. I also shed light on the mechanisms through which this occurs. Fluctuations in sovereign risk …

methodology to test the contagion effect at the country level using bilateral data on bank claims between countries. It measures … counterparty and ultimate risk bases and (ii) locational banking statistics cross-border total claims. Findings show that emerging …

financial sector and factors that explain why these strains lead to system-wide contagion and a possible credit crunch. Most of … that a financial crisis with its contagion within the system is caused by failures of legal, regulatory and political … crises would be reduced if appropriate institutions could be put in place Lacking appropriate institutions to avoid contagion …

methodology to test the contagion effect at the country level using bilateral data on bank claims between countries. It measures … counterparty and ultimate risk bases and (ii) locational banking statistics cross-border total claims. Findings show that emerging …