Olli Castrén

TL;DR: In this article, the authors use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and show how local shocks can propagate throughout the network and affect the balance sheets in other, even seemingly remote, parts of the financial system.

TL;DR: In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks as mentioned in this paper, and the authors implemented a credit risk model based on publicly available information with the aim of developing a tool to monitor credit risk in a sample of large and complex banking groups in the EU.

TL;DR: This article used a stylised two-bloc, two-period model of the global economy, with a simple stochastic productivity shock affecting only one country and showed that international spill over effects of stock market bubbles can contribute to business cycle synchronisation across economic areas.

TL;DR: In this paper, the authors analyse the behavior of euro area corporate sector probabilities of default under a wide range of domestic and global macro-financial shocks using the Global Vector Autoregressive (GVAR) model and constructing a linking satellite equation for firm-level Expected Default Frequencies (EDFs).

TL;DR: In this article, the authors used the Global Vector Autoregressive (GVAR) model and constructing a linking satellite equation for the firm-level Expected Default Frequencies (EDFs) to analyse the euro area corporate sector probability of default under a wide range of domestic and foreign macroeconomic shocks.