Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103432
Authors: 
Radev, Deyan
Year of Publication: 
2014
Series/Report no.: 
SAFE Working Paper Series 70
Abstract: 
We outline a procedure for consistent estimation of marginal and joint default risk in the euro area financial system. We interpret the latter risk as the intrinsic financial system fragility and derive several systemic fragility indicators for euro area banks and sovereigns, based on CDS prices. Our analysis documents that although the fragility of the euro area banking system had started to deteriorate before Lehman Brothers' file for bankruptcy, investors did not expect the crisis to affect euro area sovereigns' solvency until September 2008. Since then, and especially after November 2009, joint sovereign default risk has outpaced the rise of systemic risk within the banking system.
Subjects: 
Banking Stability
Financial Distress
Tail Risk
Contagion
JEL: 
C16
C61
G01
G21
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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