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Multifactor Risk Attribution Applied to Systemic, Climate and Geopolitical Tail Risks for the Eurozone Banking Sector. (2023). Bettin, Giulia ; Recchioni, Maria Cristina ; Mensi, Gian Marco.
In: Risks.
RePEc:gam:jrisks:v:11:y:2023:i:10:p:173-:d:1252146.

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  3. Engle, Robert F., Eric Jondeau, and Michael Rockinger. 2015. Systemic Risk in Europe. Review of Finance 19: 145–90. [CrossRef] European Central Bank (ECB-ESRB). 2021. Climate-Related Risk and Financial Stability. July. Available online: https://www.ecb.
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  4. European Central Bank (ECB-ESBR). 2022. 2022 Climate Risk Stress Test. July. Available online: https://www.ecb.europa.eu/press/ pr/date/2022/html/ecb.pr220726~491ecd89cb.en.html (accessed on 31 August 2022).
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  5. FRB of New York Staff Report No. 977, Rev. March 2023. Previous title: “Climate Stress Testing”. Available online: https: //ssrn.com/abstract=3931516.html (accessed on 4 April 2022).
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  6. Gehrig, Thomas, and Maria C. Iannino. 2021. Did the Basel Process of capital regulation enhance the resiliency of European banks? Journal of Financial Stability 55: 100904. [CrossRef] Glosten, Lawrence, Ravi Jagannathan, and David E. Runkle. 1993. On the relation between the expected value and the volatility of the excess returns on stocks. The Journal of Finance 48: 1779–801. [CrossRef] Gouriéroux, Christian, Alain Monfort, and Jean-Paul Renne. 2022. Required Capital for Long-Run Risks. Journal of Economic Dynamics and Control 144: 104502. [CrossRef] Hull, John C. 2023. Risk Management and Financial Institutions, 6th ed. Hoboken: Wiley. ISBN 978-1-119-93249-9.

  7. Jung, Hyeyoon, Robert F. Engle, and Richard Berner. 2021. CRISK: Measuring the Climate Risk Exposure of the Financial System.

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