. Spillovers are estimated recursively from a vector autoregressive model of daily CDS spread changes, with exogenous common … factors. We account for interdependencies between sovereign and bank CDS spreads and we derive generalised impulse response … transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four …

This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample … comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. We first compare … the determinants of CDS spreads and bond spreads and test how the crisis has affected market pricing. Then we analyse the …

smoothed transition regression (LSTR) model where possible threshold endogeneity is addressed based on copula theory. We also …

threshold, insurance companies play a crucial role in mitigating both direct and indirect contagion. …

fundamental and acquire information about the macro shock. Contagion can occur even after investors learn that region 2 has no ex …

We evaluate the effects of contagion and common exposure on banks' capital through a regression design inspired by the … structural VAR literature and derived from the balance sheet identity. Contagion can occur through direct exposures, fire sales … on granular balance sheet and interbank exposure data of the Canadian banking market. First, we document that contagion …

The analysis of contagion in financial networks has primarily focused on transmission channels operating through direct … linkages. This paper develops a model of financial contagion in the interbank market featuring both direct and indirect … the impact of direct contagion increases gradually with the shock intensity, the effect of indirect contagion is subject …

We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to … exacerbate contagion when their voluntary liquid buffers are fully utilised. Fourth, a system with larger and more interconnected … agents is more prone to contagion risk stemming from funding shocks. …

the tools of network analysis it is possible to study how contagion spreads between banks and what is the probability and … impact on contagion probability than real shocks that, however, are long lasting. Additionally I find that monetary policy …