Systemic risk diagnostics: coincident indicators and early warning signals
Year of publication: |
2011
|
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Authors: | Schwaab, Bernd ; Koopman, Siem Jan ; Lucas, André |
Publisher: |
Frankfurt a. M. : European Central Bank (ECB) |
Subject: | credit portfolio models | financial crisis | frailty-correlated defaults | state space methods | systemic risk |
Series: | ECB Working Paper ; 1327 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 657541559 [GVK] hdl:10419/153761 [Handle] RePEc:ecb:ecbwps:20111327 [RePEc] |
Classification: | G21 - Banks; Other Depository Institutions; Mortgages ; C33 - Models with Panel Data |
Source: |
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Schwaab, Bernd, (2010)
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Schwaab, Bernd, (2010)
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Schwaab, Bernd, (2010)
- More ...
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The Information in Systemic Risk Rankings
Nucera, Federico, (2015)
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Forecasting Cross-Sections of Frailty-Correlated Default
Koopman, Siem Jan, (2008)
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Koopman, Siem Jan, (2012)
- More ...