Systemic risk diagnostics: coincident indicators and early warning signals
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More about this item
Keywords
credit portfolio models; financial crisis; frailty-correlated defaults; state space methods; systemic risk;All these keywords.
JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2011-04-23 (Banking)
- NEP-CBA-2011-04-23 (Central Banking)
- NEP-ORE-2011-04-23 (Operations Research)
- NEP-RMG-2011-04-23 (Risk Management)
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