crisis, and up to 55% during the financial crisis, and both for core countries (from 40% to 60%) and periphery countries …

crisis, and up to 55% during the financial crisis, and both for core countries (from 40% to 60%) and periphery countries …

debt crisis. It shows that a deterioration in countries’ fundamentals and fundamentals contagion – a sharp rise in the … spreads during the crisis, not only for euro area countries but globally. By contrast, regional spill overs and contagion have … sensitivity of financial markets to fundamentals – are the main explanations for the rise in sovereign yield spreads and CDS …

substantial underestimation of the probability of tail events. Using an extreme-value-based EMP crisis definition leads to a … different set of crisis determinants compared to a definition based on standard errors. The probability of extreme EMP periods … in our sample is affected by global risk aversion, regional contagion, the level of international reserves, foreign …

This paper presents time-varying contagion indices of credit risk spillover and feedback between 64 financials and …-identification of contagion between financials’ true credit risk and sovereign credit risk is avoided 1) by controlling for common … factors; 2) by relying on fair value CDS spreads as the credit risk measure for financials. The results show that in …

expectations about bank risk-taking and demand a return on deposits according to their risk. This creates strategic … bear on the European sovereign debt crisis, in the course of which under-capitalized banks in default-risky countries …

We develop early warning models for financial crisis prediction by applying machine learning techniques to … values, uncovering nonlinear relationships between the predic-tors and crisis risk. Throughout, the most important predictors …

to assess what factors lead the occurrence of a crisis and with what horizon the indicators lead a crisis. We find that …

This paper presents first steps toward robust models for crisis prediction. We conduct a horse race of conventional …