Andrieş, Alin Marius; Galasan, Elena - In: Risks : open access journal 8 (2020) 1/5, pp. 1-20
In this paper, we measure the size and the direction of the spillover effects among European commercial banks, with respect to their size, geographical position, income sources, and systemic importance for the period from 2006 to 2016, using a state-dependent sensitivity value-at-risk model,...
