Correlated risks vs contagion in stochastic transition models
Year of publication: |
2013
|
---|---|
Authors: | Gagliardini, Patrick ; Gouriéroux, Christian |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 37.2013, 11, p. 2241-2269
|
Subject: | Frailty | Systematic risk | Contagion | INAR model | Granularity adjustment | Risiko | Risk | Kreditrisiko | Credit risk | Finanzkrise | Financial crisis | Korrelation | Correlation | Markov-Kette | Markov chain | Ansteckungseffekt | Contagion effect | Theorie | Theory | Systemrisiko | Systemic risk | Schock | Shock | Geldpolitische Transmission | Monetary transmission |
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