Front Matter Page
European Department and Monetary and Capital Markets Department
Authorized for distribution by Jörg Decressin and Daniel Hardy
Contents
I. Introduction
II. Methodology and Data
A. Theoretical Underpinnings
B. Data
C. Empirical Model
III. Results
IV. Conclusions
References
Tables
1. Major EU Exchange-Listed Banks
2. Stock Market Indices and Government Bond Yields
3. Significant Co-Exceedances among Large EU Banks, May 2000–April 2007
Figures
1. EU Banks: Changes in Distance-to-Default
2. EU Banks: Distribution of Changes in Distances-to-Default
3. EU Banks: Binomial Logit Exceedances in the 10th Percentile Left Tail
Appendices
I. Spillover Risk Among Large EU Banks—Detailed Mapping
II. Calculating Distance to Default
Appendix Tables
A.1. May 30, 2000 to April 30, 2007 (Full Sample Period)
A.2. May 30, 2000 to November 30, 2003 (First Sub-Period)
A.3. December 1, 2003 to April 30, 2007 Sub-Sample (Second Sub-Period)
A.4. November 9, 2005–April 30, 2007 (The Latest Part of the Second Sub-Period)