Latent fragility: conditioning banks’ joint probability of default on the financial cycle
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Cited by:
- Daniel Dimitrov & Sweder van Wijnbergen, 2023.
"Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector,"
Working Papers
768, DNB.
- van Wijnbergen, Sweder & Dimitrov, Daniel, 2023. "Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector," CEPR Discussion Papers 17992, C.E.P.R. Discussion Papers.
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More about this item
Keywords
financial crises; financial cycle; multivariate density optimization; portfolio credit risk; systemic risk;All these keywords.
JEL classification:
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
- C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- G01 - Financial Economics - - General - - - Financial Crises
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2022-09-12 (Banking)
- NEP-CBA-2022-09-12 (Central Banking)
- NEP-EEC-2022-09-12 (European Economics)
- NEP-FDG-2022-09-12 (Financial Development and Growth)
- NEP-RMG-2022-09-12 (Risk Management)
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