Market- and Book-Based Models of Probability of Default for Developing Macroprudential Policy Tools
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References listed on IDEAS
- Thorsten Lehnert & Xisong Jin & Francisco Nadal de Simone, 2011. "Does the GARCH Structural Credit Risk Model Make a Difference?," LSF Research Working Paper Series 11-6, Luxembourg School of Finance, University of Luxembourg.
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- Xisong Jin & Francisco Nadal De Simone, 2017. "Systemic Financial Sector and Sovereign Risks," BCL working papers 109, Central Bank of Luxembourg.
- Xisong Jin & Francisco Nadal De Simone, 2012. "An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal," BCL working papers 75, Central Bank of Luxembourg.
- Jin, Xisong & Nadal De Simone, Francisco de A., 2014.
"Banking systemic vulnerabilities: A tail-risk dynamic CIMDO approach,"
Journal of Financial Stability,
Elsevier, vol. 14(C), pages 81-101.
- Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.
- Jin, Xisong & Nadal De Simone, Francisco, 2014. "A framework for tracking changes in the intensity of investment funds' systemic risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 343-368.
- repec:gam:jjrfmx:v:10:y:2017:i:2:p:8-:d:95645 is not listed on IDEAS
- Gastón Andrés Giordana & Ingmar Schumacher, 2017.
"An Empirical Study on the Impact of Basel III Standards on Banks’ Default Risk: The Case of Luxembourg,"
Journal of Risk and Financial Management,
MDPI, Open Access Journal, vol. 10(2), pages 1-21, April.
- Gaston Giordana & Ingmar Schumacher, 2012. "An Empirical Study on the Impact of Basel III Standards on Banks? Default Risk: The Case of Luxembourg," BCL working papers 79, Central Bank of Luxembourg.
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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