We outline a procedure for consistent estimation of marginal and joint default risk in the euro area financial system …. We interpret the latter risk as the intrinsic financial system fragility and derive several systemic fragility indicators … sovereign default risk has outpaced the rise of systemic risk within the banking system. …

an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived … default risk by acting as a disciplinary device for the sovereign. In this paper we empirically analyze the impact of … exogenous changes in bank exposure on the risk position of the sovereign within a Markov switching structural vector …