23-029/IV - Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector

• Authors
  Daniel Dimitrov, DNB; Sweder van Wijnbergen, University of Amsterdam
• Publication date
  May 18, 2023

• Keywords
  systemic risk, CDS rates, implied market measures, financial institutions, fat tails, O-SII buffers
• JEL
  G01, G20, G18, G38