How much does book value data tell us about systemic risk and Its Interactions with the macroeconomy? A Luxembourg empirical evaluation

Number	118
Date	February 2018
Author	Xisong Jin
Résumé	JEL Classication: C1, E5, F3, G1 Keywords: financial stability; systemic risk; macro-prudential policy; dynamic copulas; value at risk; shapley values; risk spillovers.
Download	Working paper 118 (pdf, 4 MByte)

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