A market-based approach to sector risk determinants and transmission in the euro area

被引:13
|
作者
Saldias, Martin [1 ,2 ]
机构
[1] Banco Portugal, P-1150012 Lisbon, Portugal
[2] Banco Portugal, Econ & Res Dept, Catolica Lisbon Res Unit, P-1150012 Lisbon, Portugal
关键词
Macro-prudential analysis; Portfolio credit risk measurement; Common correlated effects; Contingent claims analysis; DEFAULT RISK; EQUITY; INDICATORS; BANKRUPTCY; BUSINESS; PANELS;
D O I
10.1016/j.jbankfin.2013.01.026
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
In a panel data framework applied to Portfolio Distance-to-Default series of corporate sectors in the euro area, this paper evaluates systemic and idiosyncratic determinants of default risk and examines how distress is transferred in and between the financial and corporate sectors since the early days of the euro. This approach takes into account observed and unobserved common factors and the presence of different degrees of cross-section dependence in the form of economic proximity. This paper contributes to the financial stability literature with a contingent claims approach to a sector-based analysis with a less dominant macro focus while being compatible with existing stress-testing methodologies in the literature. A disaggregated analysis of the different corporate and financial sectors allows for a more detailed assessment of specificities in terms of risk profile, i.e. heterogeneity of business models, risk exposures and interaction with the rest of the macro environment. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码:4534 / 4555
页数:22
相关论文
共 50 条
  • [1] The drivers of market-based inflation expectations in the euro area and in the US
    Hoynck, Christian
    Rossi, Luca
    [J]. ECONOMICS LETTERS, 2023, 232
  • [2] A Market-based Approach to Planning in Area Surveillance
    While, Lyndon
    Sun, Yick Fei
    Barone, Luigi
    [J]. 2013 IEEE CONGRESS ON EVOLUTIONARY COMPUTATION (CEC), 2013, : 2687 - 2694
  • [3] New Evidence on Determinants of Intellectual Property Litigation: A Market-Based Approach
    Czarnitzki, Dirk
    Van Criekingen, Kristof
    [J]. INTERNATIONAL JOURNAL OF THE ECONOMICS OF BUSINESS, 2019, 26 (01) : 93 - 115
  • [4] Market-based transmission expansion planning
    Buygi, MO
    Balzer, G
    Shanechi, HM
    Shahidehpour, M
    [J]. IEEE TRANSACTIONS ON POWER SYSTEMS, 2004, 19 (04) : 2060 - 2067
  • [5] Transmission planning in a market-based environment
    Buechler, JP
    [J]. 2005 IEEE POWER ENGINEERING SOCIETY GENERAL MEETING, VOLS, 1-3, 2005, : 2796 - 2798
  • [6] A market-based approach for enabling inter-area reserve exchange
    Karaca, Orcun
    Delikaraoglou, Stefanos
    Kamgarpour, Maryam
    [J]. OPERATIONS RESEARCH LETTERS, 2021, 49 (04) : 501 - 506
  • [7] Market-based generation and transmission expansions in the competitive market
    Bresesti, P
    Gallanti, M
    Lucarella, D
    [J]. 2003 IEEE POWER ENGINEERING SOCIETY GENERAL MEETING, VOLS 1-4, CONFERENCE PROCEEDINGS, 2003, : 459 - 462
  • [8] Market-Based Generation and Transmission Planning With Uncertainties
    Roh, Jae Hyung
    Shahidehpour, Mohammad
    Wu, Lei
    [J]. IEEE TRANSACTIONS ON POWER SYSTEMS, 2009, 24 (03) : 1587 - 1598
  • [9] The limitations of market-based regulation of the electronic communications sector
    Richards, Paul
    [J]. TELECOMMUNICATIONS POLICY, 2006, 30 (3-4) : 201 - 222
  • [10] Market-based Transmission Planning Model in PJM Electricity Market
    Lin, Jeremy
    [J]. 2009 6TH INTERNATIONAL CONFERENCE ON THE EUROPEAN ENERGY MARKET, 2009, : 29 - 34