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Advanced financial risk management : tools and techniques for integrated credit risk and interest rate risk management

Deventer, Donald R. van; Imai, Kenji; Mesler, Mark - 2005

Persistent link: https://www.econbiz.de/10002383480

Measuring China's monetary policy uncertainty and its impact on the real economy

Li, Li; Tang, Yao; Xiang, Jingjie - In: Emerging markets review 44 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012414946

Risk contagion in the banking network : new evidence from China

Chen, Bing; Li, Li; Peng, Fei; Anwar, Sajid - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-16

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Capital adequacy rules, catastrophic firm failure, and systemic risk

Jarrow, Robert A. - In: Review of derivatives research 16 (2013) 3, pp. 219-231

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A leverage ratio rule for capital adequacy

Jarrow, Robert A. - In: Journal of banking & finance 37 (2013) 3, pp. 973-976

Persistent link: https://www.econbiz.de/10009708725

Monetary Policy Uncertainty, Credit Risk and China's Business Cycles

Li, Li - 2019

This paper examines the effects of monetary policy uncertainty (MPU) on China's banks' credit risks and China's macroeconomic fluctuations. By incorporating the stochastic volatility into the quantity-based monetary policy rule, we provide a specific measure for China's MPU through Bayesian MCMC...

Persistent link: https://www.econbiz.de/10012896018

Weather, credit, and economic fluctuations : evidence from China

Chen, Zhenzhu; Li, Li; Tang, Yao - In: Journal of economic behavior & organization 221 (2024), pp. 406-422

Persistent link: https://www.econbiz.de/10014553205

Distressed debt prices and recovery rate estimation

Guo, Xin; Jarrow, Robert; Lin, Haizhi - In: Review of Derivatives Research 11 (2008) 3, pp. 171-204

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Information reduction via level crossings in a credit risk model

Jarrow, Robert; Protter, Philip; Sezer, A. - In: Finance and Stochastics 11 (2007) 2, pp. 195-212

Persistent link: https://www.econbiz.de/10005613441

The intersection of market and credit risk

Jarrow, Robert A.; Turnbull, Stuart M. - In: Journal of banking & finance 24 (2000) 1/2, pp. 271-299

Persistent link: https://www.econbiz.de/10001432993