The joint credit risk of UK global-systemically important banks
Year of publication: |
October 2017
|
---|---|
Authors: | Cerrato, Mario ; Crosby, John ; Kim, Minjoo ; Zhao, Yang |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 37.2017, 10, p. 964-988
|
Subject: | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Systemrisiko | Systemic risk | Bank | Großbritannien | United Kingdom | 2007-2015 |
-
The Joint Credit Risk of UK Global-Systemically Important Banks
Cerrato, Mario, (2019)
-
Banking stress test effects on returns and risks
Neretina, Ekaterina, (2014)
-
Dimitrov, Daniel, (2022)
- More ...
-
Modeling dependence structure and forecasting market risk with dynamic asymmetric copula
Cerrato, Mario, (2015)
-
Modeling dependence structure and forecasting portfolio value-at-risk with dynamic copulas
Cerrato, Mario, (2014)
-
Correlated defaults of UK banks : dynamics and asymmetries
Cerrato, Mario, (2015)
- More ...