Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR
Year of publication: |
2013-10-23
|
---|---|
Authors: | Gray, Dale F. |
Institutions: | International Monetary Fund (IMF) |
Subject: | Banking sector | Credit expansion | Sovereign debt | Credit risk | Cross country analysis | Economic models | banking systems | sovereign risk | bank assets | bank capital | bank credit | financial risk | present value | deposit insurance | probability of default | bank liquidity | bank debt | bank bailouts | bank creditors | bank risk | interest expense | bank market | yield to maturity | recapitalization | banking risk | banking sectors | bank spreads |
-
Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System
Gray, Dale F., (2008)
-
Managing Financial Crises; Recent Experience and Lessons for Latin America
Kincaid, G. Russell, (2003)
-
(2011)
- More ...
-
Systemic Contingent Claims Analysis; Estimating Market-Implied Systemic Risk
Jobst, Andreas A., (2013)
-
Incorporating Financial Sector Risk Into Monetary Policy Models; Application to Chile
Luna, Leonardo, (2011)
-
International Transmission of Bank and Corporate Distress
Papa M'B. P. N'Diaye, (2010)
- More ...