Data-Driven Approach for Systemic Risk: A Macroprudential Perspective

DOI10.1007/978-3-031-11818-0_68MaRDI QIDQ6096558zbMATH OpenFDO

Authors Flavia Barsotti

Publication date 15 September 2023

Published in Mathematics in Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-031-11818-0_68

Mathematics Subject Classification ID

Numerical analysis (65-XX)

Recommendations

• Measuring systemic risk. A probabilistic perspective
• Systemic risk in the European sovereign and banking system
• Estimating the probability of multiple EU sovereign defaults using CDS and bond data
• Systemic risk in Europe: deciphering leading measures, common patterns and real effects
• Mutual excitation in Eurozone sovereign CDS

Cites work

• \textit{Within} and \textit{between} systemic country risk. Theory and evidence from the sovereign crisis in Europe
• A Multivariate Exponential Distribution
• Risk attribution and interconnectedness in the EU via CDS data

Cited in

(1)

• Systemic risk elicitation: using causal maps to engage stakeholders and build a comprehensive view of risks

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