Exploring the Systemic Risk of Domestic Banks with ΔCoVaR and Elastic-Net

Author:

Bianchi Michele LeonardoORCID,Sorrentino Alberto MariaORCID

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Finance,Accounting

Reference36 articles.

1. Acharya VV (2009) A theory of systemic risk and design of prudential bank regulation. J Financ Stabil 5(3):224–255. https://doi.org/10.1016/j.jfs.2009.02.001

2. Adrian T, Brunnermeier MK (2011) CoVaR. NBER Working Paper (No. 17454). https://doi.org/10.3386/w17454

3. Adrian T, Brunnermeier MK (2016) CoVaR. Am Econ Rev 106(7):1705–1741. https://doi.org/10.1257/aer.20120555

4. Alessi L, Balduzzi P, Savona R (2020) Anatomy of a sovereign debt crisis: machine learning, real-time macro fundamentals, and CDS spreads. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3548727. Accessed 14 September 2021

5. Bank of Italy (2021) Macroprudential policy decisions of the Bank of Italy. https://www.bancaditalia.it/compiti/stabilita-finanziaria/politica-macroprudenziale/. Accessed 14 September 2021

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1. External wealth of nations and systemic risk;Journal of Financial Stability;2024-02

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