Auflistung nach Autor "Radev, Deyan"
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Assessing Systemic Fragility – a Probabilistic Perspective
Radev, Deyan (2014-10-01)We outline a procedure for consistent estimation of marginal and joint default risk in the euro area financial system. We interpret the latter risk as the intrinsic financial system fragility and derive several systemic ... -
International Banking Conglomerates and the Transmission of Lending Shocks Across Borders
Radev, Deyan; Gropp, Reint (2017-08-01)We investigate how solvency and wholesale funding shocks to 84 OECD parent banks affect the lending of 375 foreign subsidiaries. We find that parent solvency shocks are more important than wholesale funding shocks for ... -
Social Centralization, Bank Integration and the Transmission of Lending Shocks
Radev, Deyan; Gropp, Reint (2017-08-01)We introduce an innovative approach to measure bank integration, based on the corporate culture of multinational banking conglomerates. The new measure, the Power Index, assesses the prevalence of a language of power and ... -
Systemic Risk and Sovereign Debt in the Euro Area
Radev, Deyan (2013-12-13)We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign ...