Sovereign Bond-Backed Securities: A VAR-for-VaR and Marginal Expected Shortfall Assessment
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- De Sola Perea, Maite & Dunne, Peter G. & Puhl, Martin & Reininger, Thomas, 2019. "Sovereign bond-backed securities: A VAR-for-VaR and marginal expected shortfall assessment," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 33-52.
- Perea, Maite De Sola & Dunne, Peter G. & Puhl, Martin & Reininger, Thomas, 2018. "Sovereign bond-backed securities: a VAR-for-VaR and Marginal Expected Shortfall assessment," ESRB Working Paper Series 65, European Systemic Risk Board.
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Citations
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Cited by:
- Peter G. Dunne, 2019.
"Positive Liquidity Spillovers from Sovereign Bond-Backed Securities,"
JRFM, MDPI, vol. 12(2), pages 1-25, April.
- Dunne, Peter G., 2018. "Positive liquidity spillovers from sovereign bond-backed securities," ESRB Working Paper Series 67, European Systemic Risk Board.
- Dunne, Peter G., 2018. "Positive Liquidity Spillovers from Sovereign Bond-Backed Securities," Research Technical Papers 5/RT/18, Central Bank of Ireland.
- Frey, Rüdiger & Kurt, Kevin & Damian, Camilla, 2020. "How safe are european safe bonds? An analysis from the perspective of modern credit risk models," Journal of Banking & Finance, Elsevier, vol. 119(C).
- Cronin, David & Dunne, Peter G., 2019.
"How effective are sovereign bond-backed securities as a spillover prevention device?,"
Journal of International Money and Finance, Elsevier, vol. 96(C), pages 49-66.
- Cronin, David & Dunne, Peter G., 2018. "How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device," Research Technical Papers 4/RT/18, Central Bank of Ireland.
- Cronin, David & Dunne, Peter G., 2018. "How effective are sovereign bond-backed securities as a spillover prevention device?," ESRB Working Paper Series 66, European Systemic Risk Board.
- Makushkin, Mikhail & Lapshin, Victor, 2020. "Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 30-52.
- Clancy, Daragh & Gabriele, Carmine & Žigraiová, Diana, 2022.
"Sovereign bond market spillovers from crisis-time developments in Greece,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
- Daragh Clancy & Carmine Gabriele & Diana Zigraiova, 2020. "Sovereign bond market spillovers from crisis-time developments in Greece," Working Papers 45, European Stability Mechanism.
- Daragh Clancy & Peter G. Dunne & Pasquale Filiani, 2019.
"Liquidity and tail-risk interdependencies in the euro area sovereign bond market,"
Working Papers
41, European Stability Mechanism.
- Clancy, Daragh & Dunne, Peter G. & Filiani, Pasquale, 2019. "Liquidity and tail-risk interdependencies in the euro area sovereign bond market," Research Technical Papers 11/RT/19, Central Bank of Ireland.
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More about this item
Keywords
Safe Assets; Sovereign Bonds; Value-at-Risk; Spillover; CAViaR; Co-Dependence;All these keywords.
JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E53 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Deposit Insurance
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2018-04-09 (Financial Markets)
- NEP-MAC-2018-04-09 (Macroeconomics)
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