Universidad Complutense de Madrid
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Forward looking banking stress in EMU countries



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Singh, Mansih K. y Gómez-Puig, Marta y Sosvilla-Rivero, Simón (2014) Forward looking banking stress in EMU countries. [ Working Papers on International Economics and Finance; nº 14-10, ISSN: 1696-6376 ]

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Based 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 aggregated series for a comprehensive set of banks in each eurozone country over the period 2004-Q4 to 2013-Q2. Given the structural differences in financial sector and banking regulations at national level, the indices provide a useful indicator for monitoring country specific banking vulnerability and stress. We find that average DtD indicators are intuitive, forward-looking and timely risk indicators. The underlying trend, fluctuations and correlations among indices help us analyze the interdependence while cross-sectional differences in DtD prior to crisis suggest banking sector fragility in peripheral EMU countries.

Tipo de documento:Documento de trabajo o Informe técnico
Palabras clave:Contingent claim analysis; Distance-to-default; Systemic risk
Materias:Ciencias Sociales > Economía > Bancos y cajas
Ciencias Sociales > Economía > Crisis económicas
Ciencias Sociales > Economía > Econometría
Ciencias Sociales > Economía > Integración económica
JEL:G01, G21, G28
Título de serie o colección:Working Papers on International Economics and Finance
Código ID:30644
Depositado:29 Jun 2015 11:44
Última Modificación:19 Dic 2018 09:59

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