Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector

This paper proposes a #credit #portfolio approach for evaluating #systemicrisk and attributing it across #financialinstitutions. The proposed model can be estimated from high-frequency credit default swap (#cds) data and captures risks from publicly traded #banks, privately held institutions, and coöperative banks. The approach overcomes limitations of earlier studies by accounting for correlated losses between institutions and also offers a modeling extension to […]