Singh, ManishGómez-Puig, MartaSosvilla Rivero, Simón Javier2023-06-192023-06-1920141696-6376https://hdl.handle.net/20.500.14352/41632Based on contingent claims analysis(CCA), this paper tries to estimate the systemic risk build-up in the European Economic and Monetary Union (EMU) countries using a market based measure "distance-to-default"(DtD). It analyzes the individual and aggregated series for a comprehensive set of banks in each eurozone country over the period 2004-Q4 to 2013-Q2. Given the structural differences in financial sector and banking regulations at national level, the indices provide a useful indicator for monitoring country specific banking vulnerability and stress. We find that average DtD indicators are intuitive, forward-looking and timely risk indicators. The underlying trend, fluctuations and correlations among indices help us analyze the interdependence while cross-sectional differences in DtD prior to crisis suggest banking sector fragility in peripheral EMU countries.engtechnical reporthttp://www.aeefi.comopen accessG01G21G28Contingent claim analysisDistance-to-defaultSystemic riskBancos y cajasCrisis económicasEconometría (Economía)Integración económica5307.06 Fluctuaciones Económicas5302 Econometría5309.02 Integración Económica