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Italian Sovereign Spreads; Their Determinants and Pass-through to Bank Funding Costs and Lending Conditions

Zoli, Edda - International Monetary Fund (IMF) - 2013

Volatility in Italian sovereign spreads has increased since mid-2011. This paper finds that news on the euro area debt crisis and country specific events were important drivers of sovereign spreads. Movements in sovereign spreads affect CDS spreads and bond yields of Italian banks, and are...

Persistent link: https://www.econbiz.de/10011242184

Systemic Contingent Claims Analysis; Estimating Market-Implied Systemic Risk

Jobst, Andreas A.; Gray, Dale F. - International Monetary Fund (IMF) - 2013

The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from...

Persistent link: https://www.econbiz.de/10011242440

Bank/sovereign risk spillovers in the European debt crisis

BRUYCKERE, V. DE; GERHARDT, M.; SCHEPENS, G.; VENNET, … - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2012

This paper investigates contagion between bank risk and sovereign risk in Europe over the period 2006-2011. We define … contagion as excess correlation, i.e. correlation between banks and sovereigns over and above what is explained by common … factors, using CDS spreads at the bank and at the sovereign level. Moreover, we investigate the determinants of contagion by …

Persistent link: https://www.econbiz.de/10011083173

Greek retrofit and borrowing costs in the european periphery

Bolton, Patrick; Gulati, Mitu; Fu, Xuewen; Panizza, Ugo - 2023

Persistent link: https://www.econbiz.de/10014335015

Predicting economic activity via Eurozone yield spreads: Impact of credit risk

Schock, Matthias - 2015

A 'lost decade' for the Eurozone is looming on the horizon. Under these circumstances, stable indicators for future economic activity are especially valuable to decision makers. This paper examines the predictive power of the yield spread, one of the most reliable indicators for gross domestic...

Persistent link: https://www.econbiz.de/10011324710

Estimating Implied Recovery Rates from the Term Structure of CDS Spreads

Jaskowski, Marcin; McAleer, Michael - 2013

Credit risk models should reflect the observation that the relevant value of collateral is generally not the average value of the asset over all possible states of nature. In most cases, the relevant value of collateral for the lender is its secondary market value in bad states of nature, where...

Persistent link: https://www.econbiz.de/10010326422

What drives the relationship between bank and sovereign credit risk?

Schnabel, Isabel; Schüwer, Ulrich - 2016

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-level drivers of this relationship. We find that banks' home...

Persistent link: https://www.econbiz.de/10011559990

Market perception of sovereign credit risk in the euro area during the financial crisis

Camba-Méndez, Gonzalo; Serwa, Dobromil - 2014

the market perception of sovereign credit risk, whereas financial contagion appears to have exerted a non …

Persistent link: https://www.econbiz.de/10011605755

Pricing sovereign credit risk of an emerging market

Camba-Méndez, Gonzalo; Kostrzewa, Konrad; Marszal, Anna; … - 2016

We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts....

Persistent link: https://www.econbiz.de/10011605969

New recipes for estimating default intensities

Baranovski, Alexander; von Lieres und Wilkau, Carsten; … - 2009

This paper presents a new approach to deriving default intensities from CDS or bond spreads that yields smooth intensity curves required e.g. for pricing or risk management purposes. Assuming continuous premium or coupon payments, the default intensity can be obtained by solving an integral...

Persistent link: https://www.econbiz.de/10010276969