Determinants of European banks’ default risk

2021 ◽  
pp. 102557
Author(s):  
Nicolas Soenen ◽  
Rudi Vander Vennet
Keyword(s):  
Default Risk ◽  
European Banks

scholarly journals Sovereign - Bank Default Risk Linkages During the Greek Financial Crisis and the Role of the Italian Debt

2018 ◽  
Vol 8 (4) ◽  
pp. 115
Author(s):  
Giulio Cifarelli ◽  
Giovanna Paladino
Keyword(s):  
Financial Crisis ◽  
Regime Switching ◽  
Default Risk ◽  
Time Varying ◽  
Greek Crisis ◽  
Credit Risks ◽  
Correlation Structures ◽  
European Banks ◽  
Bond Spreads

The Greek crisis has brought to light the strong nexus between the credit risks of European banks and their sovereign. We study this phenomenon in Germany, France, Italy and Spain by estimating the conditional correlations between sovereign and bank CDS bond spreads over the period 2006-2015. Trivariate time-varying regime switching correlation analyses, such as the STCC-GARCH and DSTCC-GARCH, are implemented to associate causally the state shifts to the dynamics of the so-called “transition variables”. We find evidence of significant changes in the correlation structures due to the evolution of both the Greek and Italian crises.

Impact of Correlated Default Risk on Credit Portfolios

CFA Digest ◽  
2002 ◽  
Vol 32 (3) ◽  
pp. 97-98
Author(s):  
Stephen M Horan
Keyword(s):  
Default Risk
Sign in / Sign up

Export Citation Format

Share Document