Porth Ymchwil

A New Measure for Gauging the Riskiness of European Banks’ Sovereign Bond Portfolios

Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid

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Dangosydd eitem ddigidol (DOI)

  • Philip Molyneux
    University of Sharjah
  • Livia Pancotto
    University of Strathclyde
  • Alessio Reghezza
    Ysgol Busnes Bangor
For a sample of 51 European banks, during 2010-2016, we construct a novel measure (SovRisk) which captures the riskiness of sovereign bond portfolios. We demonstrate the ability of this measure to explain the phases of the European sovereign debt crisis, while accounting for the substantial differences among distressed and non-distressed countries. We contend that SovRisk can be used as complement to bank Credit Default Swap (CDS) spreads, or a substitute in the absence of traded CDS, for measuring banks’ sovereign risk.

Allweddeiriau

Iaith wreiddiolSaesneg
Rhif yr erthygl101887
CyfnodolynFinance Research Letters
Cyfrol42
Dyddiad ar-lein cynnar17 Rhag 2020
Dynodwyr Gwrthrych Digidol (DOIs)
StatwsCyhoeddwyd - Hyd 2021

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