Fallen angels and indirect contagion: Rationale for and lessons from a system-wide analysis (VOXEU)

On 23 July 2020, the European Systemic Risk Board published a technical note summarising the findings of a cross-sectoral, top-down analysis that sought to quantify the aggregate potential impact of large-scale corporate bond downgrades. This column summarises the main findings of the exercise, provides a rationale for such analyses, and suggests repeating such system-wide exercises regularly and on a global level to uncover vulnerable links and improve institutions’ own risk management.

https://voxeu.org/article/fallen-angels-and-indirect-contagion

John Fell, Francesco Mazzaferro, Richard Portes, Eric Schaanning

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