Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/257736 
Erscheinungsjahr: 
2020
Quellenangabe: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 8 [Issue:] 4 [Article No.:] 69 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-21
Verlag: 
MDPI, Basel
Zusammenfassung: 
We propose a comprehensive approach for the analysis of real economy and government sector risk transmission to the banking system and apply it in ten Euro-Area countries from 2005 to 2017. A flexible methodology is developed to model banks' assets according to the risk-adjusted balance sheet of the counterparts. The use of distance to distress as a popular risk metric shows that Contingent Claims Analysis underestimates banks risk in stable periods and overstates it during crisis. Furthermore, the approach succeeds in detecting spillovers from households, non-financial corporations and sovereign sectors: for the countries examined the main source of instability comes from the Non-Financial Corporation sector and its increased assets volatility.
Schlagwörter: 
banking risks
distance-to-default
contingent claims analysis
JEL: 
G1
G2
G13
G32
G33
H63
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