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Given the structural differences in banking sector and financial regulation at national level in EMU, this paper tries to estimate the banking sector risk behavior at country level. Based on contingent claim literature, it computes “Distance-to-[...]texto impreso
This paper investigates the cross-sectional spillovers between banking and sovereign risk in the European Economic and Monetary Union (EMU) countries. Average ‘distance-todefault’ based on all publicly listed banks headquartered in a particular [...]texto impreso
Singh, Manish K. ; Gómez-Puig, Marta ; Sosvilla-Rivero, Simón | Asociación Española de Economía y Finanzas Internacionales | 2014-09Based on contingent claims analysis(CCA), this paper tries to estimate the systemic risk build-up in the European Economic and Monetary Union (EMU) countries using a market based measure "distance-to-default"(DtD). It analyzes the individual and[...]texto impreso
This study attempts to identify and trace inter-linkages between sovereign and banking risk for each main country in the euro area. To this end, we use an indicator of banking sector risk in each country based on the Contingent Claim Analysis li[...]texto impreso
Gómez-Puig, Marta ; Sosvilla-Rivero, Simón ; Singh, Manish K. | Asociación Española de Economía y Finanzas Internacionales | 2015-01This study attempts to identify and trace inter-linkages between sovereign and banking risk in the euro area. To this end, we use an indicator of banking risk in each country based on the Contingent Claim Analysis literature, and 10-year governm[...]texto impreso
New evidence is presented on the nexus between the sovereign and banking sector risk. Applying the contingent claims methodology to the peripheral euro area countries over the 2004Q4-2013Q2 period, we build indicators of sovereign and bank risk [...]
