Systemic risk: What defaults are telling us

Management Science

Volumn 57, Issue 8, 2011, Pages 1387-1405

  Giesecke, Kay ^a   Kim, Baeho ^b  

^a Stanford University   (United States)

^b Korea University   (South Korea)

Author keywords

Banks; Correlated failure; Financial system; Systemic risk

Indexed keywords

BANKS; CONDITIONAL PROBABILITIES; CORRELATED FAILURE; FAILURE PROBABILITY; FINANCIAL INSTITUTION; FINANCIAL SECTORS; FINANCIAL SYSTEM; HAZARD MODELS; OUT-OF-SAMPLE FORECAST; RISK FACTORS; SPILLOVER EFFECTS; SYSTEMIC RISK; TERM STRUCTURE; TIME VARYING; TRADING PARTNERS;

RISKS;

EID: 80051633772     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1110.1375     Document Type: Article

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