Systemic Risk Diagnostics
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Citations
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Cited by:
- Mardi Dungey & Matteo Luciani & David Veredas, 2012.
"Ranking Systemically Important Financial Institutions,"
CAMA Working Papers
2012-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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- Jin, Xisong & Nadal De Simone, Francisco de A., 2014.
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Journal of Financial Stability, Elsevier, vol. 14(C), pages 81-101.
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- Xisong Jin & Francisco Nadal De Simone, 2017. "Systemic Financial Sector and Sovereign Risks," BCL working papers 109, Central Bank of Luxembourg.
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International Journal of Forecasting, Elsevier, vol. 30(3), pages 781-794.
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- Andrea Mazzocchetti & Eliana Lauretta & Marco Raberto & Andrea Teglio & Silvano Cincotti, 2020.
"Systemic financial risk indicators and securitised assets: an agent-based framework,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 9-47, January.
- Mazzocchetti, Andrea & Lauretta, Eliana & Raberto, Marco & Teglio, Andrea & Cincotti, Silvano, 2018. "Systemic Financial Risk Indicators and Securitised Assets: an Agent-Based Framework," MPRA Paper 89779, University Library of Munich, Germany.
- repec:hum:wpaper:sfb649dp2013-008 is not listed on IDEAS
- Kauko, Karlo, 2014. "How to foresee banking crises? A survey of the empirical literature," Economic Systems, Elsevier, vol. 38(3), pages 289-308.
- Xisong Jin & Francisco Nadal De Simone, 2012. "An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal," BCL working papers 75, Central Bank of Luxembourg.
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More about this item
Keywords
financial crisis; systemic risk; credit portfolio models; frailty-correlated defaults; state space methods;All these keywords.
JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2010-10-30 (Operations Research)
- NEP-RMG-2010-10-30 (Risk Management)
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