We introduce a new systemic risk measure, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the fiancial system on the general default risk of sovereign debtors. We apply our measure to examine the fragility of the European financial...

This paper offers an encompassing analysis of the ECB's collateral criteria between 2001 and 2013. A comprehensive database of changes to collateral criteria is compiled and structured by asset classes. The main findings can be summarized in three stylized facts: (1) Since the outbreak of the...