The systemic risk of European banks during the financial and sovereign debt crises q

@inproceedings{Black2013TheSR,
  title={The systemic risk of European banks during the financial and sovereign debt crises q},
  author={L. Codi Black and Ricardo Varela Corr{\^e}a and Xiuchang Huang and Hao Zhou},
  year={2013}
}
We propose a hypothetical distress insurance premium (DIP) as a measure of the European banking systemic risk, which integrates the characteristics of bank size, default probability, and interconnectedness. Based on this measure, the systemic risk of European banks reached its height in late 2011 around e 500 billion. We find that the sovereign default spread is the factor driving this heightened risk in the banking sector during the European debt crisis. The methodology can also be used to… CONTINUE READING

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