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Measuring systemic risk during the COVID-19 period: A TALIS3 approach
Finance Research Letters ( IF 7.4 ) Pub Date : 2021-07-17 , DOI: 10.1016/j.frl.2021.102304
Massimiliano Caporin 1 , Laura Garcia-Jorcano 2 , Juan-Angel Jimenez-Martin 3
Affiliation  

The rapid spread of COVID-19 has had severe impacts on financial markets. We analyzed the systemic impact of the COVID-19 pandemic in different supersectors of STOXX600 North America and the STOXX600 Europe, using the TrAffic Light System for Systemic Stress (TALIS3) approach which provides a comprehensive color-based classification for grouping sectors according to system and sector stress level. We contrasted the financial markets’ reaction in North America and Europe, noticing that in Europe the systemic impact has been more persistent during March-May 2021. By evaluating the sectorial contribution to market risk, we observed heterogeneity between North America and Europe.



中文翻译:

衡量 COVID-19 期间的系统性风险:TALIS3 方法

COVID-19 的迅速传播对金融市场产生了严重影响。我们使用 TrAffic Light System for Systemic Stress (TALIS) 分析了 COVID-19 大流行对 STOXX600 北美和 STOXX600 欧洲不同超级部门的系统性影响3个) 方法,该方法根据系统和扇区压力水平为扇区分组提供基于颜色的综合分类。我们对比了北美和欧洲金融市场的反应,注意到欧洲的系统性影响在 2021 年 3 月至 5 月期间更为持久。通过评估行业对市场风险的贡献,我们观察到北美和欧洲之间的异质性。

更新日期:2021-07-18
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