TY  - UNPD
A1  - Radev, Deyan
T1  - Assessing systemic fragility – a probabilistic perspective
T2  - SAFE working paper series ; No. 70
N2  - We outline a procedure for consistent estimation of marginal and joint default risk in the euro area financial system. We interpret the latter risk as the intrinsic financial system fragility and derive several systemic fragility indicators for euro area banks and sovereigns, based on CDS prices. Our analysis documents that although the fragility of the euro area banking system had started to deteriorate before Lehman Brothers' file for bankruptcy, investors did not expect the crisis to affect euro area sovereigns' solvency until September 2008. Since then, and especially after November 2009, joint sovereign default risk has outpaced the rise of systemic risk within the banking system.
T3  - SAFE working paper - 70 
KW  - Banking Stability
KW  - Financial Distress
KW  - Tail Risk
KW  - Contagion
Y1  - 2014
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/35014
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-350141
IS  - October 1, 2014
PB  - SAFE
CY  - Frankfurt am Main
ER  -