Sovereign default spreads drove European bank risk exposures during crisis
During the European debt crisis, the sovereign default spread was "the factor" driving heightened risk in the banking sector, according to a Federal Reserve discussion paper.
The Systemic Risk of European Banks During the Financial and Sovereign Debt Crises by Lamont Black, Ricardo Correa, Xin Huang, and Hao Zhou, proposes a 'hypothetical distress insurance premium' as a measure of systemic risk at European banks, integrating characteristics such as bank size, default probability and
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