system's entities, similar risk exposure of financial institutions, and susceptibility for systemic crisis propagation … the level of different countries' sovereign debt holdings by each bank. We propose a model for systemic risk propagation … identify a critical threshold for asset risk beyond which the system transitions from stable to unstable …

This paper assesses the effectiveness of risk sharing mechanisms in Europe by breaking down the factor income … diversification boosts or dampens risk sharing. Using a panel of European countries, we compare the years before and after the 2008 … risk sharing in recent years and that a higher integration in the bond and equity markets significantly improves risk …