An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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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.
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More about this item
Keywordsfinancial stability; macroprudential policy; credit risk; early warning indicators; default probability; Generalized Dynamic Factor Model; dynamic copulas; 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-2012-09-09 (All new papers)
- NEP-BAN-2012-09-09 (Banking)
- NEP-CBA-2012-09-09 (Central Banking)
- NEP-ECM-2012-09-09 (Econometrics)
- NEP-FOR-2012-09-09 (Forecasting)
- NEP-RMG-2012-09-09 (Risk Management)
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