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http://hdl.handle.net/2445/58924
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DC Field | Value | Language |
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dc.contributor.author | Gómez-Puig, Marta | - |
dc.contributor.author | Sosvilla Rivero, Simón | - |
dc.contributor.author | Singh, Manish Kumar | - |
dc.date.accessioned | 2014-10-22T12:00:42Z | - |
dc.date.available | 2014-10-22T12:00:42Z | - |
dc.date.issued | 2014 | - |
dc.identifier.issn | 2014-1254 | - |
dc.identifier.uri | http://hdl.handle.net/2445/58924 | - |
dc.description.abstract | Based on contingent claims analysis, CCA, this paper tries to estimate the systemic risk build-up in the European Economic and Monetary Union, EMU countries using a market based measure distance-to-default, DtD. It analyzes the individual and aggregated series for a comprehensive set of banks in each eurozone country over the period 2004-Q4 to 2013-Q2. Given the structural differences in financial sector and banking regulations at national level, the indices provide a useful indicator for monitoring country specific banking vulnerability and stress. We find that average DtD indicators are intuitive, forward-looking and timely risk indicators. The underlying trend, fluctuations and correlations among indices help us analyze the interdependence while cross-sectional differences in DtD prior to crisis suggest banking sector fragility in peripheral EMU countries. | - |
dc.format.extent | 32 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública | - |
dc.relation.isformatof | Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2014/201421.pdf | - |
dc.relation.ispartof | IREA – Working Papers, 2014, IR14/21 | - |
dc.relation.ispartofseries | [WP E-IR14/21] | - |
dc.rights | cc-by-nc-nd, (c) Gómez-Puig et al., 2014 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/ | - |
dc.source | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) | - |
dc.subject.classification | Unions monetàries | - |
dc.subject.classification | Risc (Economia) | - |
dc.subject.classification | Països de la Unió Europea | - |
dc.subject.other | Monetary unions | - |
dc.subject.other | Risk | - |
dc.subject.other | European Union countries | - |
dc.title | Forward Looking Banking Stress in EMU Countries | - |
dc.type | info:eu-repo/semantics/workingPaper | - |
dc.date.updated | 2014-10-22T12:00:42Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) |
Files in This Item:
File | Description | Size | Format | |
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IR14-021_GomezPuig.pdf | 1.3 MB | Adobe PDF | View/Open |
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