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

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Standard Standard

A New Measure for Gauging the Riskiness of European Banks’ Sovereign Bond Portfolios. / Molyneux, Philip; Pancotto, Livia; Reghezza, Alessio.
In: Finance Research Letters, Vol. 42, 101887, 10.2021.

Research output: Contribution to journal › Article › peer-review

HarvardHarvard

Molyneux, P, Pancotto, L & Reghezza, A 2021, 'A New Measure for Gauging the Riskiness of European Banks’ Sovereign Bond Portfolios', Finance Research Letters, vol. 42, 101887. https://doi.org/10.1016/j.frl.2020.101887

APA

Molyneux, P., Pancotto, L., & Reghezza, A. (2021). A New Measure for Gauging the Riskiness of European Banks’ Sovereign Bond Portfolios. Finance Research Letters, 42, Article 101887. https://doi.org/10.1016/j.frl.2020.101887

CBE

Molyneux P, Pancotto L, Reghezza A. 2021. A New Measure for Gauging the Riskiness of European Banks’ Sovereign Bond Portfolios. Finance Research Letters. 42:Article 101887. https://doi.org/10.1016/j.frl.2020.101887

MLA

Molyneux, Philip, Livia Pancotto and Alessio Reghezza. "A New Measure for Gauging the Riskiness of European Banks’ Sovereign Bond Portfolios". Finance Research Letters. 2021. 42. https://doi.org/10.1016/j.frl.2020.101887

VancouverVancouver

Molyneux P, Pancotto L, Reghezza A. A New Measure for Gauging the Riskiness of European Banks’ Sovereign Bond Portfolios. Finance Research Letters. 2021 Oct;42:101887. Epub 2020 Dec 17. doi: 10.1016/j.frl.2020.101887

Author

Molyneux, Philip ; Pancotto, Livia ; Reghezza, Alessio. / A New Measure for Gauging the Riskiness of European Banks’ Sovereign Bond Portfolios. In: Finance Research Letters. 2021 ; Vol. 42.

RIS

TY - JOUR

T1 - A New Measure for Gauging the Riskiness of European Banks’ Sovereign Bond Portfolios

AU - Molyneux, Philip

AU - Pancotto, Livia

AU - Reghezza, Alessio

PY - 2021/10

Y1 - 2021/10

N2 - 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.

AB - 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.

KW - Bank sovereign risk exposure

KW - Sovereign bond portfolios

KW - Sovereign-bank nexus

U2 - 10.1016/j.frl.2020.101887

DO - 10.1016/j.frl.2020.101887

M3 - Article

VL - 42

JO - Finance Research Letters

JF - Finance Research Letters

SN - 1544-6123

M1 - 101887

ER -