Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis
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- Huang, Xin & Zhou, Hao & Zhu, Haibin, 2012. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Journal of Financial Stability, Elsevier, vol. 8(3), pages 193-205.
- Xin Huang & Hao Zhou & Haibin Zhu, 2009. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Finance and Economics Discussion Series 2009-44, Board of Governors of the Federal Reserve System (U.S.).
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More about this item
Keywordssystemic risk; Macroprudential regulation; Portfolio distress loss; Credit default swap; Dynamic conditional correlation;
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-05 (All new papers)
- NEP-BAN-2010-02-05 (Banking)
- NEP-REG-2010-02-05 (Regulation)
- NEP-RMG-2010-02-05 (Risk Management)
- NEP-SEA-2010-02-05 (South East Asia)
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