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Sovereign debt and systemic risk in the eurozone
16 references·0 citing·50 second hopsampled
Sovereign debt and systemic risk in the eurozone (2017)Sovereign debt and systemic risk in the e…SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)SRISK: A Conditional Capital …Economic policy uncertainty and risk spillovers in the Eurozone (2016)Economic policy uncertainty a…CoVaR (2016)CoVaRWhere the Risks Lie: A Survey on Systemic Risk (2015)Where the Risks Lie: A Survey…Systemic risk spillovers in the European banking and sovereign network (2015)Systemic risk spillovers in t…Which are the SIFIs? A Component Expected Shortfall approach to systemic risk (2014)Which are the SIFIs? A Compon…Systemic risk in European sovereign debt markets: A CoVaR-copula approach (2014)Systemic risk in European sov…On the time-varying relationship between EMU sovereign spreads and their determinants (2014)On the time-varying relations…How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? 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References

  • 2016CoVaR2,490 cited
  • 2016SRISK: A Conditional Capital Shortfall Measure of Systemic Risk1,410 cited
  • 2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks1,157 cited
  • 2015Where the Risks Lie: A Survey on Systemic Risk696 cited
  • 2014Systemic risk in European sovereign debt markets: A CoVaR-copula approach260 cited
  • 2016Economic policy uncertainty and risk spillovers in the Eurozone193 cited
  • 2014Which are the SIFIs? A Component Expected Shortfall approach to systemic risk176 cited
  • 2015Systemic risk spillovers in the European banking and sovereign network146 cited
  • 2014Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme105 cited
  • 2011Interest Rate Risk and Other Determinants of Post-WWII US Government Debt/GDP Dynamics105 cited
  • 2011Systemic importance: some simple indicators96 cited
  • 2014How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment89 cited
  • 2012Macroeconomic Imbalances as Indicators for Debt Crises in Europe*87 cited
  • 2010Detecting and Interpreting Financial Stress in the Euro Area77 cited
  • 2004Nonparametric Estimation of Conditional Expected Shortfall

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75 cited
  • 2014On the time-varying relationship between EMU sovereign spreads and their determinants57 cited
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