Credit and systemic risks in the financial services sector : evidence from the 2008 global crisis
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.
Registros relacionados: 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
Autores secundarios: Bégin, Jean-François
Otras clasificaciones: 921.9
Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/