A dynamic MST-deltaCoVaR model of systemic risk in the European insurance sector

Anna Denkowska () and Stanisław Wanat ()
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Anna Denkowska: Department of Mathematics, Cracow University of Economics, Kraków, Poland
Stanisław Wanat: Department of Mathematics, Cracow University of Economics, Kraków, Poland

Statistics in Transition New Series, 2021, vol. 22, issue 2, 173-188

Abstract: This work is a response to the EIOPA paper entitled ‘Systemic risk and macroprudential policy in insurance’, which asserts that...

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:exl:29stat:v:22:y:2021:i:2:p:173-188

DOI: 10.21307/stattrans-2021-022

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