This paper proposes and evaluates several market-based measures for US and eurozone individual bank tail risk and … banking system risk. We apply statistical extreme value analysis to the tails of bank equity prices to estimate the likelihood … to global shocks ( extreme systematic risk). Moreover, the estimators presuppose that bank equity prices are heavy tailed …

repression or moral suasion. By using a novel dataset on bank-level exposures to sovereign and private debt covering the entire … Eurozone crisis, I confirm that sovereign debt has been reallocated from foreign to domestic banks at the peak of the crisis …

have intensified the diabolic loop between sovereign and bank credit risks. By using a novel bank-level dataset covering … the entire timeline of the Eurozone crisis, I first re-confirm that the crisis led to the reallocation of sovereign debt …

have intensified the diabolic loop between sovereign and bank credit risks. By using a novel bank-level dataset covering … the entire timeline of the Eurozone crisis, I first re-confirm that the crisis led to the reallocation of sovereign debt …

European banks have been criticized for holding excessive domestic government debt during the recent Eurozone crisis …, which may have intensified the diabolic loop between sovereign and bank credit risks. By using a novel bank-level dataset … covering the entire timeline of the Eurozone crisis, I first re-confirm that the crisis led to the reallocation of sovereign …

been interpreted as indicative evidence of moral suasion. By using a novel bank-level dataset covering the entire timeline … of the eurozone crisis, I first re-confirm that the crisis led to the reallocation of sovereign debt from foreign to … key role in the recent fragmentation across eurozone debt markets …

', if fiscal consolidation is combined with a program for bank recovery and for competitiveness and growth. The second … benign exit from the Eurozone with stable investor expectations could substantially dampen the short-run impact …