Transmission Channels of Systemic Risk and Contagion in the European Financial Network *

@inproceedings{Paltalidis2015TransmissionCO,
  title={Transmission Channels of Systemic Risk and Contagion in the European Financial Network *},
  author={Nikos Paltalidis and Dimitrios Gounopoulos and Renatas Kizys and Yiannis Koutelidakis},
  year={2015}
}
  • Nikos Paltalidis, Dimitrios Gounopoulos, +1 author Yiannis Koutelidakis
  • Published 2015
We investigate systemic risk and how financial contagion propagates within the euro area banking system by employing the Maximum Entropy method. The study captures multiple snapshots of a dynamic financial network and uses counterfactual simulations to propagate shocks emerging from three sources of systemic risk: interbank, asset price, and sovereign credit risk markets. As conditions deteriorate, these channels trigger severe direct and indirect losses and cascades of defaults, whilst the… CONTINUE READING