# name
Forward Looking Banking Stress in EMU Countries

# metadata.dc.description.abstract[].value
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.

# metadata.dc.publisher[].value
Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública

# metadata.dc.rights[].value
cc-by-nc-nd, (c) Gómez-Puig et al., 2014

# metadata.dc.source[].value
Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

# metadata.dc.title[].value
Forward Looking Banking Stress in EMU Countries