Search

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

Recurso electrónico / Electronic resource
Section: Articles
Title: Credit and systemic risks in the financial services sector : evidence from the 2008 global crisis / Jean-François Bégin... [et al.]
Physical description: 34 p.Notes: Sumario: 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.Related records: En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 03/06/2019 Volumen 86 Número 2 - junio 2019 , p. 263-296Materia / lugar / evento: Gerencia de riesgos Mercados financieros Crisis económica Modelo de Markov Procesos estocásticos Riesgo sistémico Servicios financieros Riesgo crediticio Otros autores: Bégin, Jean-François
Other categories: 921.9
See issue detail