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TrAffic LIght system for systemic Stress: TALIS3

  • Published:2021-07 Issue: Volume:57 Page:101449
  • ISSN:1062-9408
  • Container-title:The North American Journal of Economics and Finance
  • language:en
  • Short-container-title:The North American Journal of Economics and Finance

Author:

Caporin Massimiliano,Garcia-Jorcano Laura,Jimenez-Martin Juan-Angel

Funder

Banco de Espana

Gobierno de Espana Ministerio de Educacion Cultura y Deporte

Gobierno de España Ministerio de Economía y Competitividad

Governo Italiano Ministero dei beni e delle attività culturali e del turismo

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference28 articles.

1. Measuring Systemic Risk;Acharya,2010

2. CoVaR;Adrian;Am. Econ. Rev.,2016

3. Mapping heat in the US financial system;Aikman;J. Bank. Finance,2017

4. Multivariate Orthogonal Factor GARCH;Alexander,1996

5. Basel Committee on Banking Supervision (BCBS), 2019. Minimum capital requirements for market risk, https://www.bis.org/bcbs/publ/d457.pdf.

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