Maite de Sola

National Bank of Belgium - Research Department

Research Department

Boulevard de Berlaimont 14

B-1000 Brussels, 1000

Belgium

SCHOLARLY PAPERS

2

DOWNLOADS

111

SSRN CITATIONS

3

CROSSREF CITATIONS

5

Scholarly Papers (2)

1.

A Macro-Financial Analysis of the Euro Area Sovereign Bond Market

National Bank of Belgium Working Paper No. 259
Number of pages: 42 Posted: 20 Jun 2014
Catholic University of Leuven (KUL) - Department of Economics, Université catholique de Louvain, Insper Institute of Education and Research and National Bank of Belgium - Research Department
Downloads 75 (344,863)
Citation 7

Abstract:

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euro area sovereign bonds, yield spread decomposition, unspanned macro factors, fair spreads

2.

Sovereign Bond-Backed Securities: A VAR-for-VaR and Marginal Expected Shortfall Assessment

Number of pages: 35 Posted: 09 Mar 2018
National Bank of Belgium - Research Department, Central Bank of Ireland, Oesterreichishe Nationalbank and Österreichische Nationalbank
Downloads 36 (478,977)
Citation 1

Abstract:

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Safe Assets, Sovereign Bonds, Value-at-Risk, Spillover, CAViaR, Co-Dependence