TY  - RPRT
AU  - Fuertes, Ana-Maria
AU  - Robles, M. Dolores
PY  - 2021
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/5761
AB  - This paper documents a negative cross-transmission of bank-idiosyncratic credit risk events to the equity value of peers comprising other banks, insurance and real estate firms inter alia. Large jumps in the idiosyncratic component of bank CDS spreads...
LA  - eng
KW  - Credit Risk Events
KW  - Credit Default Swaps
KW  - Equity value
KW  - European banking
KW  - Cross-transmission
KW  - Wake-up Call.
TI  - Bank Credit Risk Events and Peers’ Equity Value
TY  - technical report
VL  - 2021
ER  -