TY  - UNPD
A1  - Radev, Deyan
T1  - Systemic risk and sovereign debt in the euro area : [version 13 december 2013]
T2  - SAFE working paper series ; No. 37
N2  - We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign debtors. We apply our measure to examine the fragility of the European financial system during the ongoing sovereign debt crisis. Our analysis documents an increase in systemic risk contributions in the euro area during the post-Lehman global recession and especially after the beginning of the euro area sovereign debt crisis. We also find a considerable potential for cascade effects from small to large euro area sovereigns. When we investigate the effect of sovereign default on the European Union banking system, we find that bigger banks, banks with riskier activities, with poor asset quality, and funding and liquidity constraints tend to be more vulnerable to a sovereign default. Surprisingly, an increase in leverage does not seem to influence systemic vulnerability.
T3  - SAFE working paper - 37 
KW  - Sovereign debt
KW  - Sovereign default
KW  - Financial distress
KW  - Systemic risk
KW  - Contagion
KW  - Banking stability
KW  - Tail risk
Y1  - 2013
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/33147
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-331478
UR  - http://ssrn.com/abstract=2368283
IS  - version 13 december 2013
SP  - 1
EP  - 52
PB  - SAFE
CY  - Frankfurt am Main
ER  -