Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk
Year of publication: |
2011-12-13
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Authors: | Zhang, Xin ; Schwaab, Bernd ; Lucas, Andre |
Institutions: | Tinbergen Instituut |
Subject: | sovereign credit risk | higher order moments | time-varying parameters | financial stability |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 11-176/2/DSF29 |
Classification: | C32 - Time-Series Models ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
-
Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk
Zhang, Xin, (2011)
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Conditional and joint credit risk
Lucas, André, (2013)
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Conditional euro area sovereign default risk
Lucas, André, (2013)
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Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics
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Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
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Schwaab, Bernd, (2010)
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