We evaluate the impact of commonly used indicators of bank distress on broad (i.e. sector and country) risks. This issue deserves special attention in the banking industry where there is a strong degree of interconnectedness among institutions and the default of a single bank may cause a cascading failure, which could potentially bankrupt the entire system. Using several measures of individual bank risk our results show that these measures have a direct impact on European banking (i.e. systemic) stock market risk. We also provide strong evidence suggesting that, for listed banks, default risk tends to be systematic (i.e. non-diversifiable)

Fiordelisi, F., Marques Ibanez, D. (2013). Is default risk systematic?. JOURNAL OF BANKING & FINANCE, 37,(6), 2000-2010 [10.1016/j.jbankfin.2013.01.004].

Is default risk systematic?

FIORDELISI, FRANCO;
2013-01-01

Abstract

We evaluate the impact of commonly used indicators of bank distress on broad (i.e. sector and country) risks. This issue deserves special attention in the banking industry where there is a strong degree of interconnectedness among institutions and the default of a single bank may cause a cascading failure, which could potentially bankrupt the entire system. Using several measures of individual bank risk our results show that these measures have a direct impact on European banking (i.e. systemic) stock market risk. We also provide strong evidence suggesting that, for listed banks, default risk tends to be systematic (i.e. non-diversifiable)
2013
Fiordelisi, F., Marques Ibanez, D. (2013). Is default risk systematic?. JOURNAL OF BANKING & FINANCE, 37,(6), 2000-2010 [10.1016/j.jbankfin.2013.01.004].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11590/116475
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