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dc.creatorRadev, Deyan
dc.date.accessioned2021-11-02T10:14:13Z
dc.date.available2021-11-02T10:14:13Z
dc.date.issued2014-10-01
dc.identifier.urihttps://fiftest.hebis.de/xmlui/handle/123456789/4642
dc.description.abstractWe 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 for euro area banks and sovereigns, based on CDS prices. Our analysis documents that although the fragility of the euro area banking system had started to deteriorate before Lehman Brothers' file for bankruptcy, investors did not expect the crisis to affect euro area sovereigns' solvency until September 2008. Since then, and especially after November 2009, joint sovereign default risk has outpaced the rise of systemic risk within the banking system.
dc.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
dc.subjectFinancial Institutions
dc.titleAssessing Systemic Fragility – a Probabilistic Perspective
dc.typeWorking Paper
dcterms.referenceshttps://fiftest.hebis.de/xmlui/handle/123456789/4950?ECB FSS
dc.identifier.safeno70
dc.subject.keywordsbanking stability
dc.subject.keywordsfinancial distress
dc.subject.keywordstail risk
dc.subject.keywordscontagion
dc.subject.jelC16
dc.subject.jelC61
dc.subject.jelG01
dc.subject.jelG21
dc.subject.topic1empirical
dc.subject.topic1input
dc.subject.topic1system
dc.subject.topic2core
dc.subject.topic2outlier
dc.subject.topic2austria
dc.subject.topic3keyword
dc.subject.topic3sameCountry
dc.subject.topic3risk
dc.source.filename70_SSRN-id2514279
dc.subject.topic1nameFinancial Markets
dc.subject.topic2nameFiscal Stability
dc.subject.topic3nameSystematic Risk
dc.identifier.doi10.2139/ssrn.2514279


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Attribution-ShareAlike 4.0 International
Except where otherwise noted, this item's license is described as Attribution-ShareAlike 4.0 International