| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089502 | Journal of Banking & Finance | 2012 | 13 Pages |
Abstract
⺠We use the CoVaR approach to identify the main factors behind systemic risk. ⺠We examine a set of large international banks. ⺠We find weaker evidence that either size or leverage contributes to systemic risk. ⺠Short-term wholesale funding emerges as the most relevant systemic factor. ⺠Asymmetries play an important role in the CoVaR approach.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Germán López-Espinosa, Antonio Moreno, Antonio Rubia, Laura Valderrama,