Systemic bank risk in Brazil: an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations
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Cited by:
- Grundke, Peter, 2010. "Top-down approaches for integrated risk management: How accurate are they?," European Journal of Operational Research, Elsevier, vol. 203(3), pages 662-672, June.
- Martínez-Jaramillo, Serafín & Pérez, Omar Pérez & Embriz, Fernando Avila & Dey, Fabrizio López Gallo, 2010. "Systemic risk, financial contagion and financial fragility," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2358-2374, November.
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More about this item
Keywords
Integrated Market and Credit Risk; Monte Carlo Simulation; Brazilian banks;All these keywords.
JEL classification:
- G0 - Financial Economics - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2008-07-20 (Banking)
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