The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail...

This research paper uses data disclosed in the context of the 2010 EU-wide stress test exercise to show that a substantial home bias is present in the sovereign bond portfolios of nearly all large European banks. This finding is surprising in so far as previous research papers found home bias to...