Multifactor Risk Attribution Applied to Systemic, Climate and Geopolitical Tail Risks for the Eurozone Banking Sector
Journal: Risks
Year: 2023

The aim of this work is to introduce an innovative methodology for performing risk attribution within a multifactor risk framework. We applied this analysis to the assessment of systemic, climate, and geopolitical risks relative to a representative sample of Eurozone banks between 2011 and 2022. Comparing the results to the output of a bivariate approach, we found that contemporaneous tail crises generate combined equity losses exceeding partial analysis estimates. We then attributed the combine