Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ansgar Belke & Christian Gokus, 2011.
"Volatility Patterns of CDS, Bond and Stock Markets before and during the Financial Crisis: Evidence from Major Financial Institutions,"
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- repec:zbw:rwirep:0243 is not listed on IDEAS
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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