Pesquisa de referências

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

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      <subfield code="a">Credit and systemic risks in the financial services sector</subfield>
      <subfield code="b">: evidence from the 2008 global crisis</subfield>
      <subfield code="c">Jean-François Bégin... [et al.]</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="g">03/06/2019 Volumen 86 Número 2 - junio 2019 , p. 263-296</subfield>
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