Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach
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- Jin, Xisong & Nadal De Simone, Francisco de A., 2014. "Banking systemic vulnerabilities: A tail-risk dynamic CIMDO approach," Journal of Financial Stability, Elsevier, vol. 14(C), pages 81-101.
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More about this item
Keywords
financial stability; procyclicality; macroprudential policy; credit risk; early warning indicators; default probability; non-linearities; generalized dynamic factor model; dynamic copulas; GARCH;All these keywords.
JEL classification:
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G1 - Financial Economics - - General Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2013-03-30 (Banking)
- NEP-CBA-2013-03-30 (Central Banking)
- NEP-RMG-2013-03-30 (Risk Management)
Statistics
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