Inter-portfolio credit risk contagion including macroeconomic and financial factors: A case study for Ecuador
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DOI: 10.1016/j.eap.2021.11.006
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More about this item
Keywords
Credit risk; Contagion; Cross risk; Stress testing models; Vector autoregressive models;All these keywords.
JEL classification:
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics
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