Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154007
Authors: 
Saldías, Martín
Year of Publication: 
2013
Series/Report no.: 
ECB Working Paper 1574
Abstract: 
In a panel data framework applied to Portfolio Distance-to-Default series of corporate sectors in the euro area, this paper evaluates systemic and idiosyncratic determinants of default risk and examines how distress is transferred in and between the financial and corporate sectors since the early days of the euro. This approach takes into account observed and unobserved common factors and the presence of different degrees of cross-section dependence in the form of economic proximity. This paper contributes to the financial stability literature with a contingent claims approach to a sector-based analysis with a less dominant macro focus while being compatible with existing stress-testing methodologies in the literature. A disaggregated analysis of the different corporate and financial sectors allows for a more detailed assessment of specificities in terms of risk pro file, i.e. heterogeneity of business models, risk exposures and interaction with the rest of the macro environment.
Subjects: 
common correlated effects
contingent claims analysis
macro-prudential analysis
Portfolio credit risk measurement
JEL: 
G01
G13
C31
C33
Document Type: 
Working Paper

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