an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived … exogenous changes in bank exposure on the risk position of the sovereign within a Markov switching structural vector …The theoretical literature remains inconclusive on whether changes in bank exposure towards the domestic sovereign have …

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. …

This paper is to summarize literature on relation between sovereign and banking system risk. A main conclusion is that … a major risk shift from banking sector to public finance occured …