ARNOLD, I.J.M.; LEMMEN, J.J.G. - In: Review of Business and Economics XLVI (2001) 1, pp. 23-38
This paper examines the vulnerability of banks in EMU countries to shocks to default risk premiums on public debt. This … vulnerability depends on (1) the total amount of public debt in bank portfolios, (2) the diversifiability of the default risk on … public debt of EMU members, and (3) the degree of actual geographical diversification of public debt holdings by banks. We …