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Market- and Book-Based Models of Probability of Default for Developing Macroprudential Policy Tools

Jin, Xisong; Simone, Francisco Nadal de - Central Bank of Luxembourg - 2011

The recent financial crisis raised awareness of the need for a framework for conducting macroprudential policy. Identifying as early as possible and addressing the buildup of endogenous imbalances, exogenous shocks, and contagion from financial markets, market infrastructures, and financial...

Persistent link: https://www.econbiz.de/10009324235

Co-variation des taux de croissance sectoriels au Luxembourg: l?apport des corrélations conditionnelles dynamiques

Rouabah, Abdelaziz - Central Bank of Luxembourg - 2007

Cette analyse emploie le modèle des corrélations conditionnelles dynamiques développées récemment par Engle (2002) pour déterminer le caractère synchrone ou asynchrone des mouvements des taux de croissance de la valeur ajoutée des différents secteurs économiques au Luxembourg. Le...

Persistent link: https://www.econbiz.de/10009276970

Analytic Moments for GARCH Processes

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - Henley Business School, University of Reading - 2010

Conditional returns distributions generated by a GARCH process, which are important for many problems in market risk … moments of GARCH returns distributions in several ways: we consider a general GARCH model – the GJR specification with a … specific GARCH models largely used in practice are recovered as special cases; we derive the limits of these moments as the …

Persistent link: https://www.econbiz.de/10010838036

Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach

Jin, Xisong; Simone, Francisco Nadal De - Central Bank of Luxembourg - 2013

This study proposes a novel framework which combines marginal probabilities of default estimated from a structural credit risk model with the consistent information multivariate density optimization (CIMDO) methodology of Segoviano, and the generalized dynamic factor model (GDFM) supplemented by...

Persistent link: https://www.econbiz.de/10010631759

An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal

Jin, Xisong; Simone, Francisco Nadal De - Central Bank of Luxembourg - 2012

The estimation of banks? marginal probabilities of default using structural credit risk models can be enriched incorporating macro-financial variables readily available to economic agents. By combining Delianedis and Geske?s model with a Generalized Dynamic Factor Model into a dynamic t-copula...

Persistent link: https://www.econbiz.de/10010826820

Markov Switching GARCH Diffusion

Alexander, Carol; Lazar, Emese - Henley Business School, University of Reading - 2008

GARCH option pricing models have the advantage of a well-established econometric foundation. However, multiple states … need to be introduced as single state GARCH and even Levy processes are unable to explain the term structure of the moments … of financial data. We show that the continuous time version of the Markov switching GARCH(1,1) process is a stochastic …

Persistent link: https://www.econbiz.de/10008542351