Banking systemic vulnerabilities: A tail-risk dynamic CIMDO approach

Journal of Financial Stability

Volumn 14, Issue , 2014, Pages 81-101

  Jin, Xisong ^a   Nadal De Simone, Francisco de A ^b  

^a UNIVERSITY OF LUXEMBOURG   (Luxembourg)

^b L 2983   (Luxembourg)

Author keywords

Credit risk; Default probability; Dynamic copulas; Early warning indicators; Financial stability; GARCH; Generalized dynamic factor model; Macroprudential policy; Non linearities; Procyclicality

Indexed keywords

EID: 84910006334     PISSN: 15723089     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfs.2013.12.004     Document Type: Article

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