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

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<dc:creator>Bégin, Jean-François</dc:creator>
<dc:date>2019-06-03</dc:date>
<dc:description xml:lang="es">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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/168523.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Gerencia de riesgos</dc:subject>
<dc:subject xml:lang="es">Mercados financieros</dc:subject>
<dc:subject xml:lang="es">Crisis económica</dc:subject>
<dc:subject xml:lang="es">Modelo de Markov</dc:subject>
<dc:subject xml:lang="es">Procesos estocásticos</dc:subject>
<dc:subject xml:lang="es">Riesgo sistémico</dc:subject>
<dc:subject xml:lang="es">Servicios financieros</dc:subject>
<dc:subject xml:lang="es">Riesgo crediticio</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Credit and systemic risks in the financial services sector : evidence from the 2008 global crisis</dc:title>
<dc:format xml:lang="es">34 p.</dc:format>
<dc:relation xml:lang="es">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. 263-296</dc:relation>
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