Measuring bank capital requirements through Dynamic Factor analysis
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- Petr Gapko & Martin Smid, 2012. "Dynamic Multi-Factor Credit Risk Model with Fat-Tailed Factors," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(2), pages 125-140, May.
More about this item
KeywordsDynamic Factor Model; Forecasting; Stochastic Simulation; Risk Management; Banking;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-BAN-2008-10-07 (Banking)
- NEP-BEC-2008-10-07 (Business Economics)
- NEP-CFN-2008-10-07 (Corporate Finance)
- NEP-FOR-2008-10-07 (Forecasting)
- NEP-MAC-2008-10-07 (Macroeconomics)
- NEP-RMG-2008-10-07 (Risk Management)
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