Excel and Risk transmission: Difference between pages
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''Risk - systemic risk.'' | |||
Risk transmission is the spread of risk from one sector to another, or within a sector. | |||
[[Category: | |||
:<span style="color:#4B0082">'''''Credit risk transmission during crisis events'''''</span> | |||
:"... we model a high-dimensional network of European CDS [Credit Default Swap] spreads to assess the transmission of credit risk to the non-financial corporate sector. | |||
:Our findings suggest a sectoral clustering in the CDS network, where financial institutions are located in the center and non-financial as well as sovereign CDS are grouped around the financial center. | |||
:The network has a geographical component reflected in differences in the magnitude and direction of real-sector risk transmission across European countries. | |||
:While risk transmission to the non-financial sector increases during crisis events, risk transmission within the non-financial sector remains largely unchanged." | |||
:''Analyzing credit risk transmission to the non-financial sector in Europe: a network approach - European Systemic Risk Board - Working Paper 78, July 2018.'' | |||
==See also== | |||
*[[Contagion]] | |||
*[[Credit default swap]] | |||
*[[Credit risk]] | |||
*[[European Systemic Risk Board]] | |||
*[[Sovereign]] | |||
*[[Systemic risk]] | |||
[[Category:The_business_context]] | |||
[[Category:Identify_and_assess_risks]] | |||
[[Category:Manage_risks]] | |||
[[Category:Risk_frameworks]] | |||
[[Category:Risk_reporting]] | |||
[[Category:Financial_products_and_markets]] | |||
Revision as of 02:37, 16 November 2021
Risk - systemic risk.
Risk transmission is the spread of risk from one sector to another, or within a sector.
- Credit risk transmission during crisis events
- "... we model a high-dimensional network of European CDS [Credit Default Swap] spreads to assess the transmission of credit risk to the non-financial corporate sector.
- Our findings suggest a sectoral clustering in the CDS network, where financial institutions are located in the center and non-financial as well as sovereign CDS are grouped around the financial center.
- The network has a geographical component reflected in differences in the magnitude and direction of real-sector risk transmission across European countries.
- While risk transmission to the non-financial sector increases during crisis events, risk transmission within the non-financial sector remains largely unchanged."
- Analyzing credit risk transmission to the non-financial sector in Europe: a network approach - European Systemic Risk Board - Working Paper 78, July 2018.
