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Bank and Sovereign Debt Risk Connection
(2013-01-01)
Euro area data show a positive connection between sovereign and bank risk, which increases with banks’ and sovereign long run fragility. We build a macro model with banks subject to moral hazard and liquidity risk (sudden ...
Trust Me! I am a European Central Banker
(2012-06-01)
In the aftermath of the financial crisis, the ECB has experienced an unprecedented deterioration in the level of trust. This raises the question as to what factors determine trust in central banking. We use a unique ...
Mutual Excitation in Eurozone Sovereign CDS
(2014-05-01)
We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, to capture the salient features ...
Bloomberg
Bloomberg offers a wide range of data on the world's leading public and private companies. Bloomberg database components includes: Stock price data, CDS and bond data, calculated ratios, financial accounts information; ...
Markit
Markit Ltd. was a British financial information and services company with over 4,000 employees, founded in 2003 as an independent source of credit derivative pricing. The company provides independent data, trade processing ...
Datastream
Historical financial database with over 35 million individual instruments or indicators across all major asset classes, including 8.5 million active economic indicators. It features 70 years of data, across 175 countries ...
Eurobarometer
same with Eurobarometer surveys below
S&P
S&P Global Ratings (previously Standard & Poor’s) is an American credit rating agency (CRA) and a division of S&P Global that publishes financial research and analysis on stocks, bonds, and commodities.
BaFin
Die Bundesanstalt für Finanzdienstleistungsaufsicht (kurz: BaFin) ist eine rechtsfähige deutsche Anstalt des öffentlichen Rechts des Bundes mit Sitz in Frankfurt am Main und Bonn.
SNL
SNL Financial is the premier provider of breaking news, financial data and expert analysis on business sectors critical to the global economy: Banking, Insurance, Financial Services, Real Estate, Energy, Media & Communications ...