Banking systemic vulnerabilities : a tail-risk dynamic CIMDO approach
Year of publication: |
2014
|
---|---|
Authors: | Jin, Xisong ; Nadal-De Simone, Francisco |
Published in: |
Journal of financial stability. - Amsterdam [u.a.] : Elsevier, ISSN 1572-3089, ZDB-ID 2222049-5. - Vol. 14.2014, p. 81-101
|
Subject: | Financial stability | Procyclicality | Macroprudential policy | Credit risk | Early warning indicators | Default probability | Non-linearities | Generalized dynamic factor model | Dynamic copulas | GARCH | Theorie | Theory | Kreditrisiko | Wirtschaftsindikator | Economic indicator | Finanzkrise | Financial crisis | ARCH-Modell | ARCH model | Frühwarnsystem | Early warning system | Konjunktur | Business cycle | Finanzmarktaufsicht | Financial supervision | Basler Akkord | Basel Accord | Multivariate Verteilung | Multivariate distribution | Zeitreihenanalyse | Time series analysis |
-
Investment funds' vulnerabilities : a tail-risk dynamic CIMDO approach
Jin, Xisong, (2015)
-
Langrim, R. Brian, (2014)
-
Measuring aggregate risk : can we robustly identify asset-price boom–bust cycles?
Borgy, Vladimir, (2014)
- More ...
-
Market- and book-based models of probability of default for developing macroprudential policy tools
Jin, Xisong, (2011)
-
A framework for tracking changes in the intensity of investment funds systemic risk
Jin, Xisong, (2014)
-
Jin, Xisong, (2012)
- More ...