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Basel II Second Pillar : An Analytical VAR with Contagion and Sectorial Risks
Bonollo, Michele; Mercurio, Fabio; Mosconi, Paola - 2009
This paper deals with the effects of concentration (single name and sectoral) and contagion risk on credit portfolios. Results are obtained for the value at risk of the portfolio loss distribution, in the analytical framework originally developed by Vasicek in 1991 [1]. VAR is expressed as a sum...
Persistent link: https://www.econbiz.de/10014210852
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The Covid-19 impact on agricultural market arrivals and prices in India : a panel VAR approach
Imai, Katsushi S.; Kaicker, Nidhi; Gaiha, Raghav - 2020 - Revised
Persistent link: https://www.econbiz.de/10012663169
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The Covid-19 impact on agricultural market arrivals and prices in India : a panel VAR approach
Imai, Katsushi S.; Kaicker, Nidhi; Gaiha, Raghav - 2020 - This version: 17th November 2020
Persistent link: https://www.econbiz.de/10012316534
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The COVID-19 impact on agricultural market arrivals and prices in India : a panel VAR approach
Imai, Katsushi S.; Kaicker, Nidhi; Gaiha, Raghav - 2020 - This version: 30th November 2020
Persistent link: https://www.econbiz.de/10012793413
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Coordination of monetary and fiscal policies for growth with price stability in a post-COVID-19 Indian economy
Arora, Nitin; Monga, Shubham; Sharma, Dilpreet - In: Economic papers 41 (2022) 3, pp. 247-259
Persistent link: https://www.econbiz.de/10013387334
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Measuring demand and supply shocks from COVID-19 : an industry-level analysis for India
Patnaik, Anuradha - In: Margin: the journal of applied economic research 16 (2022) 1, pp. 76-105
Persistent link: https://www.econbiz.de/10012821964
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Macroeconomic impact of the supply shock during COVID-19 pandemic in India
Sharma, Apica; Sachdeva, Paras - In: Journal of economic studies 51 (2024) 1, pp. 145-164
Persistent link: https://www.econbiz.de/10014466442
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Measuring monetary policy shocks in India
Lakdawala, Aeimit; Sengupta, Rajeswari - 2021
Persistent link: https://www.econbiz.de/10012817128
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Are global spillovers complementary or competitive? : need for international policy coordination
Bhattarai, Keshab; Mallick, Sushanta Kumar; Yang, Bo - In: Journal of international money and finance 110 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10012795534
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Is uncertainty the same everywhere? : advanced versus emerging economies
Kumar, Abhishek; Mallick, Sushanta Kumar; Sinha, Apra - In: Economic modelling 101 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012796221