Banking systemic vulnerabilities: A tail-risk dynamic CIMDO approach
Year of publication: |
2014
|
---|---|
Authors: | Jin, Xisong ; Nadal De Simone, Francisco de A. |
Published in: |
Journal of Financial Stability. - Elsevier, ISSN 1572-3089. - Vol. 14.2014, C, p. 81-101
|
Publisher: |
Elsevier |
Subject: | Financial stability | Procyclicality | Macroprudential policy | Credit risk | Early warning indicators | Default probability | Non-linearities | Generalized dynamic factor model | Dynamic copulas | GARCH |
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