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The state dependent impact of bank exposure on sovereign risk
Podstawski, Maximilian; Velinov, Anton - 2016 - This version: February 11, 2016
The theoretical literature remains inconclusive on whether changes in bank exposure towards the domestic sovereign have an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived default risk by acting as a disciplinary device for the...
Persistent link: https://www.econbiz.de/10011436025
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The state dependent impact of bank exposure on sovereign risk
Podstawski, Maximilian; Velinov, Anton - In: Journal of banking & finance 88 (2018), pp. 63-75
Persistent link: https://www.econbiz.de/10011962583
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Semi-Markov risk models for finance, insurance and reliability
Janssen, Jacques; Manca, Raimondo - 2007
Persistent link: https://www.econbiz.de/10003408642
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The vulnerability trends of the banking sector of Bangladesh : a stress testing approach
Sarker, Niluthpaul; Nahar, Shamsun - In: International journal of economics and financial issues … 8 (2018) 3, pp. 75-85
Persistent link: https://www.econbiz.de/10011978935
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The risk-taking channel in Colombia revisited
López, Martha; Tenjo Galarza, Fernando; Zárate, Héctor - In: Ensayos sobre política económica 30 (2012), pp. 274-295
Persistent link: https://www.econbiz.de/10011500846
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SYSMO I : a systemic stress model for the Colombian financial system
Gamba, Santiago; Jaulín, Oscar; Lizarazo, Angélica; … - 2017
Persistent link: https://www.econbiz.de/10011869243
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A non-homogeneous semi-Markov reward model for the credit spread computation
D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: International journal of theoretical and applied finance 14 (2011) 2, pp. 221-238
Persistent link: https://www.econbiz.de/10008992173
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Valuation of basket credit derivatives in the credit migrations environment
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique - In: Financial engineering, (pp. 471-507). 2008
Persistent link: https://www.econbiz.de/10003567710
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Affine and quadratic Markov processes and their applications in finance
Chen, Li - 2004
Persistent link: https://www.econbiz.de/10003549391