In this paper, we propose a flexible tool to estimate the risk sensitivity of a high-dimensional portfolio composed of different classes of assets, especially in extreme risk circumstances. We build a so-called Cvine Risk Factors Model (CRFM), which is a non-linear version of a risk factor model...

Pour de nombreuses théories financières comme l'allocation d'actifs, la gestion de risque et l'évaluation des produits dérivés, la dépendance entre les facteurs de risque occupe une position cruciale. L'allocation d'actifs et l'évaluation des risques s'appuient sur des corrélations, dans...

This paper investigates the relationship between bank funding costs and solvency for a large sample of euro area banks using two proprietary ECB datasets for both wholesale funding costs and deposit rates. In particular, the paper studies the relationship between bank solvency, on the one hand,...

This paper investigates the relationship between bank funding costs and solvency for a large sample of euro area banks using two proprietary ECB datasets for both wholesale funding costs and deposit rates. In particular, the paper studies the relationship between bank solvency, on the one hand,...

This paper investigates the relationship between bank funding costs and solvency for a large sample of euro area banks using two proprietary ECB datasets for both wholesale funding costs and deposit rates. In particular, the paper studies the relationship between bank solvency, on the one hand,...

We study how banks react to policy announcements during the representative policy cycle of consultation and policy publication. We use unique data covering the population of all mortgage transactions in the UK complemented with regulatory risk assessments of banks and their supervisory...