On bank credit risk: systemic or bank-specific? Evidence from the US and UK
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- Junye Li & Gabriele Zinna, 2014. "How much of bank credit risk is sovereign risk? Evidence from the eurozone," Temi di discussione (Economic working papers) 990, Bank of Italy, Economic Research and International Relations Area.
- Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Correlated Defaults of UK Banks: Dynamics and Asymmetries," Working Papers 2015_24, Business School - Economics, University of Glasgow.
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More about this item
Keywordssystemic bank credit Risk; credit default swaps; distress risk premia; Bayesian estimation;
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-08 (All new papers)
- NEP-BAN-2014-03-08 (Banking)
- NEP-CBA-2014-03-08 (Central Banking)
- NEP-RMG-2014-03-08 (Risk Management)
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