An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal
Year of publication: |
2012-07
|
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Authors: | Jin, Xisong ; Simone, Francisco Nadal De |
Institutions: | Central Bank of Luxembourg |
Subject: | financial stability | macroprudential policy | credit risk | early warning indicators | default probability | Generalized Dynamic Factor Model | dynamic copulas | GARCH |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 75 45 pages |
Classification: | C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General ; E44 - Financial Markets and the Macroeconomy ; G1 - General Financial Markets |
Source: |
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Banking systemic vulnerabilities: A tail-risk dynamic CIMDO approach
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Market- and Book-Based Models of Probability of Default for Developing Macroprudential Policy Tools
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Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach
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Market and Funding Liquidity Stress Testing of the Luxembourg Banking Sector
Simone, Francisco Nadal De, (2010)
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