the role of the bank rescues in igniting the sovereign debt crisis and reviews approaches to detect early warning signals …

calibration of the model to Eurozone banking data for 2006 yields that lengthening the average maturity of wholesale debt from its …

debt maturities inefficiently short. The assessment is based on the calibration of the model to Eurozone banking data for …

We show that eurozone bank risks during 2007-2013 can be understood as carry trade behavior. Bank equity returns load … bond returns, which generated carry until the deteriorating GIIPS bond returns adversely affected bank balance sheets. We …

Brunnermeier (2011) based on the CoVaR and find that size is a predictor of a bank contribution to systemic risk, but it is not the …

We study the impact of higher bank capital buffers, namely of the Other Systemically Important Institu- tions (O …

results highlight the importance of the starting level of bank capital, bank asset quality, and banks' adjustments for the …

bank is, the higher are the abnormal returns, both in 'crisis countries' and 'non-crisis countries'. Moreover, abnormal … contrast, abnormal returns are not robustly related to bank risk. These findings reveal market expectations consistent with the …

We stress test Eurozone banks of systemic importance by applying a historical simulation approach. The balance sheets …. By revaluating the fair valued balance sheets on a daily basis, we calculate bank capital maximum drawdowns for different … systemically important Eurozone banks are well capitalized with respect to market risks but undercapitalized regarding credit- and …