Risk transmission
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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 [from the financial sector] 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.
