Guido Spanò

University College London - Department of Economics

Drayton House, 30 Gordon Street

30 Gordon Street

London, WC1H 0AX

United Kingdom

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

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A Sensitivities Based CoVaR Approach to Assets Commonality and its Application to SSM Banks

ECB Working Paper No. 2022/2725

Number of pages: 27 Posted: 22 Sep 2022

Leonardo Del Vecchio, Carla Giglio, Frances Shaw, Guido Spanò and Giuseppe Cappelletti

Bank of Italy, European Central Bank (ECB), Central Bank of Ireland, University College London - Department of Economics and European Central Bank (ECB)

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