Banking systemic vulnerabilities : a tail-risk dynamic CIMDO approach
Year of publication: |
2014
|
---|---|
Authors: | Jin, Xisong ; Nadal-De Simone, Francisco |
Published in: |
Journal of financial stability. - Amsterdam [u.a.] : Elsevier, ISSN 1572-3089, ZDB-ID 2222049-5. - Vol. 14.2014, p. 81-101
|
Subject: | Financial stability | Procyclicality | Macroprudential policy | Credit risk | Early warning indicators | Default probability | Non-linearities | Generalized dynamic factor model | Dynamic copulas | GARCH | Kreditrisiko | Wirtschaftsindikator | Economic indicator | Finanzkrise | Financial crisis | ARCH-Modell | ARCH model | Finanzmarktaufsicht | Financial supervision | Frühwarnsystem | Early warning system | Bankenkrise | Banking crisis | Volatilität | Volatility | Konjunktur | Business cycle | Bankenregulierung | Bank regulation | Basler Akkord | Basel Accord | Schätzung | Estimation | Multivariate Verteilung | Multivariate distribution | Zeitreihenanalyse | Time series analysis |
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