Sehr geehrte Damen und Herren,
“Systemic Risk Spillovers in the European Banking and Sovereign Network”.
Termin
Freitag, 10. April 2015, 11:00 Uhr
Ort
Geldzentrum der OeNB (OeNB II)
Veranstaltungssaal, 3. Stock
Abstract
We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a high-dimensional
financial system. Tail risk dependencies and contributions are estimated based on a penalized two-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The framework is applied to a system of
51 large European banks and 17 sovereigns through the period 2006 to 2013, utilizing both equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over the European sovereign debt crisis and how
it is reflected in network statistics and systemic risk measures. Illustrating the usefulness of the framework as a monitoring tool, we provide indication for the fragmentation of the European financial system having peaked and that recovery has started.
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Mittwoch, 8. April 2015.
Wir freuen uns auf Ihre Teilnahme und stehen für Fragen gerne zur Verfügung.
Mit freundlichen Grüßen,
Julia Palatin
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Oesterreichische Nationalbank
Abteilung für Öffentlichkeitsarbeit und Finanzbildung
Communications and Financial Literacy Division
Phone: +43-1-404 20-6620
Fax: +43-1-404 20-6697
E-Mail:
event-management@oenb.at
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