Investment funds' vulnerabilities : a tail-risk dynamic CIMDO approach
Year of publication: |
July 2015
|
---|---|
Authors: | Jin, Xisong ; Nadal-De Simone, Francisco |
Publisher: |
Luxembourg : Banque centrale du Luxembourg |
Subject: | financial stability | investment funds | procyclicality | macro-prudential policy | structural credit risk models | probability of distress | non-linearities | generalized dynamic factor model | dynamic copulas | Kreditrisiko | Credit risk | Finanzkrise | Financial crisis | Investmentfonds | Investment Fund | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model | Wirtschaftsindikator | Economic indicator | Portfolio-Management | Portfolio selection | Finanzmarkt | Financial market | Dynamische Wirtschaftstheorie | Economic dynamics |
Extent: | 1 Online-Ressource (circa 56 Seiten) Illustrationen |
---|---|
Series: | Cahiers d'etudes / Banque Centrale du Luxembourg. - Luxembourg, ZDB-ID 2434635-4. - Vol. no 95 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Banking systemic vulnerabilities : a tail-risk dynamic CIMDO approach
Jin, Xisong, (2014)
-
Tracking changes in the intensity of financial sector's systemic risk
Jin, Xisong, (2016)
-
Systemic financial sector and sovereign risks
Jin, Xisong, (2017)
- 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)
-
Banking systemic vulnerabilities : a tail-risk dynamic CIMDO approach
Jin, Xisong, (2014)
- More ...