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

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Título: Credit and systemic risks in the financial services sector : evidence from the 2008 global crisis / Jean-François Bégin... [et al.]

Descripción física: 34 p.

Notas: 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.

Autores secundarios: Bégin, Jean-François

Otras clasificaciones: 921.9

Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/