Which Market Drives Credit Spreads in Tranquil and Crisis Periods? An Analysis of the Contribution to Price Discovery of Bonds, CDS, Stocks and Options, Davide Avino (ICMA Centre, University of Reading), Emese Lazar (ICMA Centre, University of Reading) and Simone Varotto (ICMA Centre, University of Reading)
|
| How Homogeneous Diversification in Balanced Investment Funds Affects Portfolio and Systemic Risk, Rocco Ciciretti (Università degli Studi di Roma Tor Vergata and EPRU, University of Leicester) and Raffaele Corvino (Università degli Studi di Roma Tor Vergata) |
| New Measures for Systemic Banks, Wanda Cornacchia (Banca d’Italia) and Antonio Di Cesare (Banca d’Italia) |
| Systemic Risk Contributions: A Credit Portfolio Approach, K. Düllmann (Deutsche Bundesbank) and N.Puzanova (Deutsche Bundesbank) |
| Endogenous Response to the Interbank Loan ’Network Tax’: Stability and Efficiency, José Pedro Fique (Universidade do Porto) |
Systemic Risk, Credit Growth and Capital Buffers in Basel III, Adam Geršl (Czech National Bank and Charles University in Prague) and Jakub Seidler (Czech National Bank and Charles University in Prague) |
| Analytical CoVaR, KiHoon Jimmy Hong (University of Cambridge) |
| Systemic Risk Diagnostics: Coincident Indicators and Early Warning Signals, Siem Jan Koopman (VU University Amsterdam and Tinbergen Institute), André Lucas (Tinbergen Institute, VU University Amsterdam, and Duisenberg School of Finance) and Bernd Schwaab (European Central Bank) |
| Why Does Information Disappear in Crisis Times?, Fabrizio Spargoli (Universitat Pompeu Fabra) |
| Moment-based CVaR Estimation: Quasi-Closed Formulas, Patrizia Stucchi (Università degli studi di Udine) |
| Systemic Risk in Europe Due to Foreign Currency Loans, Pinar Yesin (Swiss National Bank) |
