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Beyond reasonable doubt : multiple tail risk measures applied to European industries

Allen, David E.; Powell, Robert John; Singh, Abhay Kumar - In: Applied economics letters 19 (2012) 7/9, pp. 671-676

Persistent link: https://www.econbiz.de/10009631004

What kind of systemic risks do we face in the European banking sector? : the approach of CoVaR measure

Karkowska, Renata - In: Folia oeconomica Stetinensia : FOS 14 (2014) 2, pp. 114-139

Persistent link: https://www.econbiz.de/10011419194

Measuring systemic risk in the European banking sector : a copula CoVaR approach

Karimalis, Emmanouil N.; Nomikos, Nikos K. - In: The European journal of finance 24 (2018) 10/12, pp. 944-975

Persistent link: https://www.econbiz.de/10012244423

Networks and market-based measures of systemic risk : the European banking system in the aftermath of the financial crisis

Clemente, Gian Paolo; Grassi, Rosanna; Pederzoli, Chiara - In: Journal of economic interaction and coordination 15 (2020) 1, pp. 159-181

Persistent link: https://www.econbiz.de/10012226909

Too-systemic-to-fail : empirical comparison of systemic risk measures in the Eurozone financial system

Armanious, Amir - In: Journal of financial stability 73 (2024), pp. 1-48

Persistent link: https://www.econbiz.de/10015083444

Volatility Indices and Implied Uncertainty Measures of European Government Bond Futures

Baran, Jaroslav - 2020

Implied volatility and other forward-looking measures of option-implied uncertainty help investors carefully evaluate market sentiment and expectations. We construct several measures of implied uncertainty in European government bond futures. In the first part, we create new volatility indices,...

Persistent link: https://www.econbiz.de/10012833681

Equivalence of robust VaR and CVaR optimization

Lofti, Somayyeh; Zenios, Stauros Andrea - 2016 - Date of first version: April 4, 2016

Persistent link: https://www.econbiz.de/10011539339

Risk and solvency regulation in Europe

Doff, Rene - In: Handbook of Insurance : Volume II, (pp. 483-500). 2025

Persistent link: https://www.econbiz.de/10015399628

How Does Policy Uncertainty Influence Financial Market Uncertainty Across the G7?

Smales, Lee A. - 2020

Economic policy uncertainty (EPU) relates to ambiguity surrounding possible changes in government policy and their associate impact on firm performance. This uncertainty places additional stress on economic agents and has implications for the global economy via delays in firm investment and...

Persistent link: https://www.econbiz.de/10012848439

Multifactor risk attribution applied to systemic, climate and geopolitical tail risks for the Eurozone banking sector

Bettin, Giulia; Mensi, Gian Marco; Recchioni, Maria Cristina - In: Risks : open access journal 11 (2023) 10, pp. 1-26

The aim of this work is to introduce an innovative methodology for performing risk attribution within a multifactor … risk framework. We applied this analysis to the assessment of systemic, climate, and geopolitical risks relative to a … the combined risk to each factor and to the effect of their interaction by employing our proposed frequency-based approach …

Persistent link: https://www.econbiz.de/10014391739