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A macro-prudential policy maker can manage risks to financial stability only if current
Persistent link: https://www.econbiz.de/10008679878
We determine the magnitude and nature of systematic default risk using 1971{2009) default data from Moody's. We disentangle systematic risk factors due to business cycle effects, common default dynamics (frailty), and industry-specific dynamics (including contagion). To quantify the contribution...
Persistent link: https://www.econbiz.de/10008838580