Kapp, Daniel; Vega, Marco - In: Cuadernos de Economía - Spanish Journal of Economics … 37 (2014) 103, pp. 13-28
We study cross-country GDP losses due to financial crises in terms of frequency (number of loss events per period) and severity (loss per occurrence). We perform the Loss Distribution Approach (LDA) to estimate a multi-country aggregate GDP loss probability density function and the percentiles...