biblio

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

Numéro118
DateFebruary 2018
AuteurXisong Jin
Résumé

118 abstract

JEL Classication: C1, E5, F3, G1

Keywords: financial stability; systemic risk; macro-prudential policy; dynamic copulas; value at risk; shapley values; risk spillovers.

Téléchargement Cahier d'étude 118 (pdf, 4 MByte)