Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis

Journal of Financial Stability

Volumn 8, Issue 3, 2012, Pages 193-205

  Huang, Xin ^a   Zhou, Hao ^b   Zhu, Haibin ^c  

^a UNIVERSITY OF OKLAHOMA   (United States)

^b FEDERAL RESERVE BOARD   (United States)

^c JP Morgan Chase Bank   (Hong Kong)

Author keywords

Credit default swap; Dynamic conditional correlation; Macro prudential regulation; Portfolio distress loss; Systemic risk

Indexed keywords

EID: 84859594201     PISSN: 15723089     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfs.2011.10.004     Document Type: Article

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