Zobrazeno 1 - 10
of 32
pro vyhledávání: '"Segoviano, Miguel"'
Publikováno v:
In Journal of International Money and Finance August 2024 146
Autor:
Segoviano, Miguel A.
The estimation of the profit and loss distribution of loan portfolios requires the modelling of the marginal and multivariate distributions that describe the individual and joint credit risk of the loans making up a portfolio. Unfortunately, portfoli
Externí odkaz:
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.420703
Publikováno v:
Journal of Financial Regulation and Compliance, 2017, Vol. 25, Issue 4, pp. 360-380.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/JFRC-01-2017-0005
We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::1a52d44bbc63f05e6beabaa9d2d28584
https://hdl.handle.net/10419/269105
https://hdl.handle.net/10419/269105
Publikováno v:
Oxford Review of Economic Policy, 2004 Dec 01. 20(4), 591-615.
Externí odkaz:
https://www.jstor.org/stable/23606937
Publikováno v:
European Financial Markets And Institutions.
Externí odkaz:
https://doi.org/10.1093/oso/9780199229956.003.0027
We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential stress testing. SE losses are measured using a reduced-form model to value financial entity assets,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______206::832d6a630eef7d896fc67ffd8128fe0d
http://eprints.lse.ac.uk/118930/
http://eprints.lse.ac.uk/118930/