Other publications may include books, quarterly reviews, annual reports and economic bulletins from the ECB, PhD theses and Danmarks Nationalbank’s policies.
The Dynamics of Bank and Sovereign Credit Risk
The thesis consists of three articles where the overall purpose is to gain further understanding of bank and sovereign credit risk. The first article is about the importance of domestic bank fundamentals for the dynamics of sovereign credit risk. The second article shows that banks’ cross-border exposures are priced in credit default swap (CDS) markets. Finally, the third article is a case study on the collapse of the Icelandic banking system in the Autumn 2008.