Market- and Book-Based Models of Probability of Default for Developing Macroprudential Policy Tools
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More about this item
Keywordsfinancial stability; credit risk; structured products; default probability; GARCH;
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G1 - Financial Economics - - General Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-07 (All new papers)
- NEP-BAN-2011-11-07 (Banking)
- NEP-CBA-2011-11-07 (Central Banking)
- NEP-RMG-2011-11-07 (Risk Management)
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