Systemic risk in the European sovereign and banking system

DOI10.1080/14697688.2016.1205212zbMath1402.91861OpenAlexW2494339855MaRDI QIDQ4555099

Francis In, Simon Xu, Inchang Hwang, Catherine S. Forbes

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10072/339929

zbMATH Keywords

systemic riskbanking stabilitytail risksovereign default

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (2)

Extracting implied volatilities from bank bonds ⋮ Digital economy era: the role of the telecommunications sector in frequency-dependent default risk connectedness

Cites Work

• The generalized cross entropy method, with applications to probability density estimation
• Duality Relationships for Entropy-Like Minimization Problems
• Dual Methods in Entropy Maximization. Application to Some Problems in Crystallography
• Financial Network Systemic Risk Contributions
• Estimating the probability of multiple EU sovereign defaults using CDS and bond data
• Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme

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