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

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<title>Credit and systemic risks in the financial services sector</title>
<subTitle>: evidence from the 2008 global crisis</subTitle>
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<dateIssued encoding="marc">2019</dateIssued>
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<extent>34 p.</extent>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Jean-François Bégin... [et al.]</note>
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<topic>Gerencia de riesgos</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080597641">
<topic>Mercados financieros</topic>
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<topic>Crisis económica</topic>
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<topic>Modelo de Markov</topic>
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<topic>Procesos estocásticos</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20100016923">
<topic>Riesgo sistémico</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080603908">
<topic>Servicios financieros</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080582401">
<topic>Riesgo crediticio</topic>
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<title>The Journal of risk and insurance</title>
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<publisher>Nueva York : The American Risk and Insurance Association, 1964-</publisher>
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<identifier type="issn">0022-4367</identifier>
<identifier type="local">MAP20077000727</identifier>
<part>
<text>03/06/2019 Volumen 86 Número 2 - junio 2019 , p. 263-296</text>
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