In this paper we propose a framework for measuring and stress testing the systemic risk of a
group of major financial institutions. The systemic risk is measured by the price of insurance …

We adopt a systemic risk indicator measured by the price of insurance against systemic
financial distress and assess individual banks' marginal contributions to the systemic risk …

European banks became a source of risk to global financial markets during the financial
crisis and attention to the European banking sector increased during the sovereign debt …

This paper examines the effect of sovereign credit rating change announcements on the
CDS spreads of the event countries, and their spillover effects on other emerging …

Using a new dataset of UK-syndicated loans, we document a significant loan cost
disadvantage incurred by privately held firms. For identification, we use the distance of a …

Many have claimed that credit default swaps (CDSs) have lowered the cost of debt financing
to firms by creating new hedging opportunities and information for investors. This paper …

This paper measures the systemic risk of a banking sector as a hypothetical distress
insurance premium, identifies various sources of financial instability, and allocates systemic …

This paper explores the dynamic relationship between stock market implied credit spreads,
CDS spreads, and bond spreads. A general VECM representation is proposed for changes …

Financial innovation through the creation of new markets and securities impacts related
markets as well, changing their efficiency, quality (pricing error), and liquidity. The credit …

The study documented in this paper utilises a probit regression analysis to empirically
investigate the key macroeconomic factors that influence default risk in the peer-to-peer …