This paper attempts to assess the Europe-wide systemic risk in banking. We employ a bivariate GARCH model to estimate … interdependencies amongst the banking business in Europe and hence for the systemic risk potential. We employ several tests to assess … conditional correlations between European bank stock indices. These correlations are used as an indication for the …

changes have an asymmetric impact in that bank stocks benefit more from negative CDS spread shocks than they are hurt by … positive shocks, which creates moral hazard and is best explained by a “too-systemic-to-fail” effect. The contagion effects are … economically significant contagion channel for tail spread increases …

Purpose: The purpose of this paper is to discuss and then analyze the interdependency between bank and sovereign risk … evidence supporting the existence of significant bank and sovereign risk linkages. There are, however, different patterns in … the relationships across countries and even across banks within the same country. Also, higher correlations between bank …

crisis. The fear of contagion coming from the US has been very limited. As shown by the CIBC case — the most exposed Canadian … bank to subprime assets — the situation has been very well managed by banks. Moreover, the Government of Canada Insured …

irrational market-wide crisis sentiment leads investors to devalue bank stocks irrespective of idiosyncratic or macroeconomic …