Paper looks at eurozone banks’ contributions to systemic risk
Researchers use SRISK measure on sample of eurozone banks
A discussion paper published by the Deutsche Bundesbank examines whether the determinants of eurozone banks’ contributions to systemic risk are different between the levels of the eurozone and individual countries.
In Drivers of systemic risk: Do national and European perspectives differ?, Claudia M Buch, Thomas Krause and Lena Tonzer examine a sample of eurozone banks from 2005 to 2013. They use the SRISK measure developed in a recent paper by Brownlees and Engle to compute the contribution of
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