Gómez-Puig, MartaSosvilla Rivero, SimónSingh, Manish Kumar2014-10-222014-10-2220142014-1254https://hdl.handle.net/2445/58924Based 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.32 p.application/pdfengcc-by-nc-nd, (c) Gómez-Puig et al., 2014http://creativecommons.org/licenses/by-nc-nd/3.0/Unions monetàriesRisc (Economia)Països de la Unió EuropeaMonetary unionsRiskEuropean Union countriesinfo:eu-repo/semantics/workingPaper2014-10-22info:eu-repo/semantics/openAccess