Credit and systemic risks in the financial services sector : evidence from the 2008 global crisis

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20190019606</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20190625125339.0</controlfield>
    <controlfield tag="008">190624e20190603usa|||p      |0|||b|eng d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">921.9</subfield>
    </datafield>
    <datafield tag="245" ind1="0" ind2="0">
      <subfield code="a">Credit and systemic risks in the financial services sector</subfield>
      <subfield code="b">: evidence from the 2008 global crisis</subfield>
      <subfield code="c">Jean-François Bégin... [et al.]</subfield>
    </datafield>
    <datafield tag="300" ind1=" " ind2=" ">
      <subfield code="a">34 p.</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">We develop a portfolio credit risk model that includes firm-specific Markovswitching regimes as well as individual stochastic and endogenous recovery rates. Using weekly credit default swap premiums for 35 financial firms, we analyze the credit risk of each of these companies and their statistical linkages, putting emphasis on the 20052012 period. Moreover, we study the systemic risk affecting both the banking and insurance subsectors.</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080591182</subfield>
      <subfield code="a">Gerencia de riesgos</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080597641</subfield>
      <subfield code="a">Mercados financieros</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080575298</subfield>
      <subfield code="a">Crisis económica</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080576783</subfield>
      <subfield code="a">Modelo de Markov</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080603120</subfield>
      <subfield code="a">Procesos estocásticos</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20100016923</subfield>
      <subfield code="a">Riesgo sistémico</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080603908</subfield>
      <subfield code="a">Servicios financieros</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080582401</subfield>
      <subfield code="a">Riesgo crediticio</subfield>
    </datafield>
    <datafield tag="700" ind1=" " ind2=" ">
      <subfield code="0">MAPA20190008310</subfield>
      <subfield code="a">Bégin, Jean-François</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077000727</subfield>
      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="g">03/06/2019 Volumen 86 Número 2 - junio 2019 , p. 263-296</subfield>
    </datafield>
  </record>
</collection>