Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/167784 
Autor:innen: 
Erscheinungsjahr: 
2015
Quellenangabe: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 3 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2015 [Pages:] 244-279
Verlag: 
MDPI, Basel
Zusammenfassung: 
This paper draws on network theory to investigate European banks' sovereign debt exposures. Banks' holdings of sovereign debt build a network of financial linkages with European countries that exhibits a long-tail distribution of node degrees. A highly connected network core of 15 banks is identified. These banks accounted for the majority of sovereign debt investments between December 2010 and December 2013 but exhibited only average and sometimes even below average capitalizations. Consequently, they constituted a potential source and transmission channel of systemic risk, especially due to their proneness to portfolio contagion. In a complementary regression analysis, the effect of counterparty risk on Credit Default Swap (CDS) spreads of 15 EU sovereigns is investigated. Among the banks exposed to the debt of a particular issuer, the biggest institutions in terms of their own asset sizes are identified and some of their balance sheet characteristics included into the regression. The analysis finds that the banks' implied volatilities had a significant and increasing effect on CDS spreads during the recent crisis years, providing evidence of the presence of counterparty risk and its effect on EU sovereign debt pricing. Furthermore, the role of the domestic financial sectors is assessed and found to have affected the CDS spreads.
Schlagwörter: 
contagion
sovereign risk
European debt
European banks
stress tests
JEL: 
C23
E61
G28
H63
H81
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe
2.02 MB





Publikationen in EconStor sind urheberrechtlich geschützt.