compressing bond risk premia. Before 2000, the fall in rates is largely due to the in-creasing demand pressure exerted by UK …

increasing moral hazard risk. …

We develop a multivariate credit risk model for the term structures of sovereign and bank credit default swaps. First …, we separate the probability of joint defaults of large Eurozone sovereigns (systemic risk) from that of sovereign …-specific defaults (country risk). Then, we quantify individual banks' exposures to each type of sovereign risk, as well as bank …

We develop a multivariate credit risk model that accounts for joint defaults of banks and al-lows us to disentangle how … much of banks' credit risk is systemic. We find that the US and UK dif-fer not only in the evolution of systemic risk, but … in particular in their banks' systemic exposures. In both countries, however, systemic credit risk varies substantially …

current account imbalances, quantity and quality of financial ‘overlending’, banking problems, and the composition, maturity …

liquidity conditions and agents� degree of risk aversion. By means of factor analysis, we find that a single common factor is …

highlight a crucial innovation to these criteria, namely that, for the first time, they now explicitly take account of the risk …

We study the effect of the increase in Italian sovereign debt risk on credit supply on a sample of 670,000 bank … exploit the lower impact of sovereign risk on foreign banks operating in Italy than on domestic banks. We study firms …