Looking through systemic credit risk : determinants, stress testing and market value
Year of publication: |
2020
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Authors: | Chamizo, Álvaro ; Novales, Alfonso |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 64.2020, p. 1-30
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Subject: | Credit risk | Factor models | Idiosyncratic risk | Market pricing | Stress tests | Systemic risk | Finanzdienstleistung | Financial services | Kreditrisiko | Risikomanagement | Risk management | Systemrisiko | Stresstest | Stress test | Portfolio-Management | Portfolio selection |
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