Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - In: Journal of Banking & Finance 37 (2013) 3, pp. 773-785
The mutual and cross company exposures to fat-tail distributed risks determine the potential impact of a financial crisis on banks and insurers. We examine the systemic interdependencies within and across the European banking and insurance sectors during times of stress by means of extreme value...