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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

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

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

Value at risk of the main stock market indexes in the European Union ; (2000 - 2012)

Iglesias, Emma M. - In: Journal of policy modeling : JPMOD ; a social science … 37 (2015) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10011333008

Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances

Lotfi, Somayyeh; Zenios, Stauros Andrea - In: European journal of operational research : EJOR 269 (2018) 2, pp. 556-576

Persistent link: https://www.econbiz.de/10011864407

Disentangling euro area portfolios : new evidence on cross-border securities holdings

Rousová, Linda; Rodríguez Caloca, Antonio - 2018

This paper presents a detailed set of new, quantity-based indicators of financial integration in the euro area. The indicators are based on granular data from securities holdings statistics and help us disentangle the main drivers of the portfolio changes observed since the financial crisis....

Persistent link: https://www.econbiz.de/10011857118

Transmission of Government Default Risk in the Eurozone

Kohonen, Anssi - 2013

maturity, the bond spreads mainly reflect governments' default risk. The years we consider are 2005-2010, and we find evidence … transmission of government default risk from Greece to the other countries. However, Greece was not the only source country of …

Persistent link: https://www.econbiz.de/10013088504

Stress-testing of liquidity risk in TARGET2

Papsdorf, Patrick (contributor); Arciero, Luca (contributor) - Europäische Zentralbank / Group on TARGET2 Stress Testing - 2017

The paper reports the outcome of the stress-testing of liquidity risk in the TARGET2 payment system, with the study …

Persistent link: https://www.econbiz.de/10011627053

Dependence between extreme risk factor movements of euro area sovereign bonds

Kahlert, Dennis - In: Three essays on capital and liquidity, (pp. 108-141). 2018

Persistent link: https://www.econbiz.de/10012116903

Downside risk, portfolio diversification and the financial crisis in the euro-zone

Sarafrazi, Soodabeh; Hammoudeh, Shawkat; Santos, Paulo … - In: Journal of international financial markets, … 32 (2014), pp. 368-396

Persistent link: https://www.econbiz.de/10011299784

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