BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Memento EPFL//
BEGIN:VEVENT
SUMMARY:Zero Risk Contagion - Banks' Sovereign Exposure and Sovereign Risk
  Spillovers
DTSTART:20160415T103000
DTEND:20160415T120000
DTSTAMP:20260503T154119Z
UID:7b6ab6cd7adfa1238f55ac026509ae6216401cbef41ccace594e3ac3
CATEGORIES:Conferences - Seminars
DESCRIPTION:Sascha STEFFEN (ESMT European School of Management and Technol
 ogy)\nWe investigate whether the application of risk weights impairs finan
 cial stability. Zero risk weight regulation associated with euro-denominat
 ed sovereign debt creates a “sovereign subsidy” for European banks\, w
 hich amplifies the co-movement between sovereign credit default swap (CDS)
  spreads and a European sovereign CDS index. We do not find a similar co-m
 ovement with sovereign CDS spread changes of non-euro area sovereigns. Mor
 e capital as well as less aggressive risk weighting mitigates this effect.
  Our results are robust to alternative hypotheses\, and controlling for co
 mmon shocks due to financial linkages among European countries\, and the e
 xposure of European banks to non-sovereign sectors.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
END:VEVENT
END:VCALENDAR