Credit and systemic risks in the financial services sector : evidence from the 2008 global crisis
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20190019606 | ||
| 003 | MAP | ||
| 005 | 20190625125339.0 | ||
| 008 | 190624e20190603usa|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a921.9 | ||
| 245 | 0 | 0 | $aCredit and systemic risks in the financial services sector$b: evidence from the 2008 global crisis$cJean-François Bégin... [et al.] |
| 300 | $a34 p. | ||
| 520 | $aWe 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. | ||
| 650 | 4 | $0MAPA20080591182$aGerencia de riesgos | |
| 650 | 4 | $0MAPA20080597641$aMercados financieros | |
| 650 | 4 | $0MAPA20080575298$aCrisis económica | |
| 650 | 4 | $0MAPA20080576783$aModelo de Markov | |
| 650 | 4 | $0MAPA20080603120$aProcesos estocásticos | |
| 650 | 4 | $0MAPA20100016923$aRiesgo sistémico | |
| 650 | 4 | $0MAPA20080603908$aServicios financieros | |
| 650 | 4 | $0MAPA20080582401$aRiesgo crediticio | |
| 700 | $0MAPA20190008310$aBégin, Jean-François | ||
| 773 | 0 | $wMAP20077000727$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964-$x0022-4367$g03/06/2019 Volumen 86 Número 2 - junio 2019 , p. 263-296 |