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Forward Looking Banking Stress in EMU Countries
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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.
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GÓMEZ-PUIG, Marta, SOSVILLA RIVERO, Simón and SINGH, Manish Kumar. Forward Looking Banking Stress in EMU Countries. IREA – Working Papers. 2014. Vol. IR14/21. ISSN 2014-1254. [consulted: 11 of August of 2026]. Available at: https://hdl.handle.net/2445/58924