Systemic risk diagnostics: coincident indicators and early warning signals
Year of publication: |
2011-04
|
---|---|
Authors: | Schwaab, Bernd ; Koopman, Siem Jan ; Lucas, André |
Institutions: | European Central Bank |
Subject: | credit portfolio models | financial crisis | frailty-correlated defaults | state space methods | systemic risk |
-
Schwaab, Bernd, (2010)
-
Schwaab, Bernd, (2010)
-
Schwaab, Bernd, (2010)
- More ...
-
Koopman, Siem Jan, (2012)
-
Observation driven mixed-measurement dynamic factor models with an application to credit risk
Creal, Drew, (2013)
-
Conditional and joint credit risk
Lucas, André, (2013)
- More ...