States as the origin of the subprime crisis. Finally, as expected, the conditional correlation between China and HK has … outweighed their conditional correlations with the United States, echoing increasing financial integration between China and HK. …

This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of …

Using monthly data for a set of variables, we examine the out-of-sample performance of various variance/covariance … probability mass toward the tails and to match reasonably well the historical evolution of volatilities by changing a decay factor …

, convexity, M-square, skewness, kurtosis, and VaR statistics as measures of interest rate exposure; a VaR statistic as the … probability of default as the most promising measure of credit risk exposure; and an elasticity approach and a VaR statistic to … measure liquidity risk. Along with the formulas for the various statistics proposed, we provide simple examples of their …

shocks (“monsoons”), or contagion from neighboring countries. Markov-switching models attribute speculative pressure on … Indonesia’s currency to domestic political and financial factors and contagion from speculative pressures in Thailand and Korea …. In particular, the results from a time-varying transition probability Markov-switching model (which overcomes some …