focuses on (i) assessing the dependence structure of the markets when extreme events occur, and (ii) checking the validity of … negative shocks in the value of firms' assets. The authors show that there is a large tail dependence between the two … portfolios. However, the dependence structure seems to be similar with respect to positive and negative innovations in the …

stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of … dependence structure. First, the results show symmetric dependence and tail dependency equality between the two markets. This … with a "too-big-to-fail" effect. Second, the authors do not detect structural breaks in the dependence structure in a …