Author/Editor: Mirko Abbritti, Salvatore Dell'Erba, Antonio Moreno, Sergio Sola.

Release Date:November, 2013

This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors more...

Release Date:June, 2012

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of more...

Author/Editor: German Lopez-Espinosa, Antonio Moreno, Antonio Rubia, Laura Valderrama.

Release Date:February, 2012

In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding more...