Systemic risk attribution in the EU
Author:
Affiliation:
1. Mediobanca S.p.A, Milano, Italy;
2. Department of Management, Economics and Quantitative Methods, University of Bergamo, Bergamo, Italy;
3. Department of Economics and Management, University of Pavia, Pavia, Italy
Publisher
Informa UK Limited
Subject
Marketing,Management Science and Operations Research,Strategy and Management,Management Information Systems
Link
https://www.tandfonline.com/doi/pdf/10.1080/01605682.2018.1487823
Reference20 articles.
1. Credit spread interdependencies of European states and banks during the financial crisis
2. Systemic sovereign credit risk: Lessons from the U.S. and Europe
3. Within and between systemic country risk. Theory and evidence from the sovereign crisis in Europe
4. A Survey of Systemic Risk Analytics
5. The systemic risk of European banks during the financial and sovereign debt crises
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1. European systemic credit risk transmission using Bayesian networks;Research in International Business and Finance;2023-04
2. Data-Driven Approach for Systemic Risk: A Macroprudential Perspective;Mathematics in Industry;2022
3. Risk attribution and interconnectedness in the EU via CDS data;Computational Management Science;2020-12
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