Multifactor Risk Attribution Applied to Systemic, Climate and Geopolitical Tail Risks for the Eurozone Banking Sector

Multifactor Risk Attribution Applied to Systemic, Climate and Geopolitical Tail Risks for the Eurozone Banking Sector

The aim of this work is to introduce an innovative methodology for performing risk attribution within a multifactor risk framework. We applied this analysis to the assessment of systemic, climate, and geopolitical risks relative to a representative sample of Eurozone banks between 2011 and 2022. Com...

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Bibliographic Details
Main Authors: Giulia Bettin, Gian Marco Mensi, Maria Cristina Recchioni
Format: Article
Language:English
Published: MDPI AG 2023-09-01
Series:Risks
Subjects:
risk attribution
climate risk
geopolitical risk
systemic risk
multifactor models
risk management
Online Access:https://www.mdpi.com/2227-9091/11/10/173

Internet

https://www.mdpi.com/2227-9091/11/10/173

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