Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements
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More about this item
KeywordsBank fragility; Counterparty risk; Financial crises; Extreme co-movements; Conditional correlation; Multivariate GARCH; Monte Carlo simulation;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-17 (All new papers)
- NEP-BAN-2009-10-17 (Banking)
- NEP-CMP-2009-10-17 (Computational Economics)
- NEP-RMG-2009-10-17 (Risk Management)
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