Exploring the systemic risk of domestic banks with ΔCoVaR and elastic-net
Year of publication: |
2022
|
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Authors: | Bianchi, Michele Leonardo ; Sorrentino, Alberto Maria |
Published in: |
Journal of financial services research. - New York,NY : Springer Science + Business Media B.V., ISSN 1573-0735, ZDB-ID 2016889-5. - Vol. 62.2022, 1/2, p. 127-141
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Subject: | Banking supervision | Capital regulation | Financial crisis | Internal risk models | Systemic risk | Value-at-risk | Finanzkrise | Systemrisiko | Bankrisiko | Bank risk | Risikomaß | Risk measure | Bankenaufsicht | Basler Akkord | Basel Accord | Risiko | Risk | Welt | World | Kreditrisiko | Credit risk |
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