To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to...

This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to...

The outburst of the euro area sovereign debt crisis made evident the feedback loop between the sovereigns and the banks. The aim of this paper is to analyze whether the feedback loop has receded after the implementation by the European authorities of a number of monetary and regulatory policy...