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, 2013 In this paper we present systemic risk measures based on contingent claims approach, banking sector multivariate density and cluster analysis. These indicators aim to capture credit risk stress and its potential to become systemic. The proposed measures capture not only individual bank vulnerability, but also the stress dependency structure between ...
Solange Maria Guerra +3 more
openaire +1 more source
Geopolitical Risk and Systemic Risk in the European Banking System
Mirko Gabbiadini +2 moreopenaire +1 more source