Now showing items 1-2 of 2

    • Assessing Systemic Fragility – a Probabilistic Perspective 

      Radev, Deyan (2014-10-01)
      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 ...
    • Systemic Risk and Sovereign Debt in the Euro Area 

      Radev, Deyan (2013-12-13)
      We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign ...