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Systemic risk and asymmetric responses in the financial industry
López-Espinosa, Germán; Moreno, Antonio; Rubia, Antonio; … - In: Journal of banking & finance 58 (2015), pp. 471-485
Persistent link: https://www.econbiz.de/10011544046
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Measuring tail-risk cross-country exposures in the banking industry
Rubia, Antonio; Sanchis-Marco, Lidia - 2015 - Version: February 2015
Persistent link: https://www.econbiz.de/10011484213
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Sovereign Tail Risk
López-Espinosa, Germán - 2014
We provide a new measure of sovereign country risk exposure to global sovereign tail risk (SCRE) based on information incorporated in 5-year sovereign CDS spreads. Our panel regressions with quarterly data from 53 countries show that macro risks have strong explanatory power for SCRE. After...
Persistent link: https://www.econbiz.de/10013050575
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Measuring tail-risk cross-country exposures in the banking industry
Rubia, Antonio; Sanchis-Marco, Lidia - In: Revista de economía aplicada : REA 25 (2017) 74, pp. 27-74
Persistent link: https://www.econbiz.de/10012261754
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Good for one, bad for all : determinants of individual versus systemic risk
López-Espinosa, Germán; Rubia, Antonio; Valderrama, Laura - In: Journal of financial stability 9 (2013) 3, pp. 287-299
Persistent link: https://www.econbiz.de/10010237085