Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk
Year of publication: |
2011
|
---|---|
Authors: | Zhang, Xin ; Schwaab, Bernd ; Lucas, Andre |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | sovereign credit risk | higher order moments | time-varying parameters | financial stability |
Series: | Tinbergen Institute Discussion Paper ; 11-176/2/DSF29 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 739349880 [GVK] hdl:10419/87195 [Handle] RePEc:dgr:uvatin:20110176 [RePEc] |
Classification: | C32 - Time-Series Models ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
-
Conditional and joint credit risk
Lucas, André, (2013)
-
Conditional euro area sovereign default risk
Lucas, André, (2013)
-
Conditional probabilities and contagion measures for Euro area sovereign default risk
Zhang, Xin, (2011)
- More ...
-
Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics
Lucas, Andre, (2013)
-
Conditional Probabilities for Euro Area Sovereign Default Risk
Lucas, Andre, (2012)
-
Conditional and Joint Credit Risk
Lucas, Andre, (2013)
- More ...