In this paper we use sovereign quanto-CDS spreads as proxy for redenomination-risk in the Eurozone, i.e., the risk of a sovereign default obtained by the redenomination of debt in a different currency. Quanto-CDS spreads are the difference between the CDS quotes in U.S. dollars and euros. We...

Con la crisi del debito dell'Eurozona il rischio sovrano sulle obbligazioni governative dei paesi area Euro e' radicalmente mutato. I fondi obbligazionari governativi area Euro investono proprio in questi strumenti finanziari e costituiscono una quota significativa del risparmio delle famiglie...

Systemic risk is the risk of a collapse of the entire financial system, typically triggered by the default of one, or more, large and interconnected financial institutions. In this paper we estimate the systemic risk contribution of each financial institution in a large sample of European banks....

This paper studies the systemic risk contribution of a set of large publicly traded European banks. Over a sample covering the last twenty years and three different crises, we find that all banks in our sample significantly contribute to systemic risk. Moreover, larger banks and banks with a...

The COVID-19 pandemic has sickened more than 10 million people around the world and killed at least 500,000. In this chapter, we focus on the experience of Italy, which is the first country hit by the virus in Europe. While the lockdown measures appear to have successfully contained the virus,...