Analyzing credit risk transmission to the nonfinancial sector in Europe: A network approach

Summary We use a factor model and elastic net shrinkage to model a high‐dimensional network of European credit default swap (CDS) spreads. Our empirical approach allows us to assess the joint transmission of bank and sovereign risk to the nonfinancial corporate sector. Our findings identify a sector...

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Vydané v:	Journal of applied econometrics (Chichester, England) Ročník 35; číslo 1; s. 61 - 81
Hlavní autori:	Gross, Christian, Siklos, Pierre L.
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Chichester Wiley Periodicals Inc 01.01.2020
Predmet:	Clustering Credit Credit default swaps Credit risk Econometrics Economic models Empirical analysis Financial institutions Interlocking directorates Risk Risk analysis Spread Europe
ISSN:	0883-7252, 1099-1255
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