Sovereign co-risk measures in the Euro Area

Research output: Chapter in Book/Report/Conference proceedingConference contribution


We propose a method to extract significant risk interactions between Countries adopting the Graphical Lasso algorithm, used in graph theory to sort out the spurious effect of common components. In this context, the major issue is the definition of the penalization parameter. We propose a search algorithm aimed at the best separation of the variables (expressed in terms of conditional dependence) given an a priori desired partition. The case study focuses on Sovereign Bond Yields over the period 2009–2017. The proposed algorithm is used in systemic risk estimation of the Euro area sovereigns.
Original languageEnglish
Title of host publicationBook of Short Papers SIS 2018
Number of pages6
Publication statusPublished - 2018
EventSIS 2018 - Palermo
Duration: 20 Jun 201822 Jun 2018


ConferenceSIS 2018


  • Graphical Lasso algorithm
  • Network dependence
  • Systemic risk


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