Estimating bank default with generalised extreme value models
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References listed on IDEAS
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- Raffaella Calabrese & Johan A. Elkink & Paolo Giudici, 2014. "Measuring Bank Contagion in Europe Using Binary Spatial Regression Models," DEM Working Papers Series 096, University of Pavia, Department of Economics and Management.
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- Raffaella Calabrese & Silvia Osmetti, 2014. "Modelling cross-border systemic risk in the European banking sector: a copula approach," Papers 1411.1348, arXiv.org.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-16 (All new papers)
- NEP-BAN-2013-03-16 (Banking)
- NEP-CBA-2013-03-16 (Central Banking)
- NEP-RMG-2013-03-16 (Risk Management)
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