How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation
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More about this item
Keywords
_nancial stability; systemic risk; macro-prudential policy; dynamic copulas; value at risk; shapley values; risk spillovers;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
- F3 - International Economics - - International Finance
- G1 - Financial Economics - - General Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2018-04-02 (Banking)
- NEP-EEC-2018-04-02 (European Economics)
- NEP-GTH-2018-04-02 (Game Theory)
- NEP-MAC-2018-04-02 (Macroeconomics)
- NEP-RMG-2018-04-02 (Risk Management)
Statistics
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