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Sectoral fragility: factors and dynamics
16 references·5 citing·39 second hop
Sectoral fragility: factors and dynamics (2005)Sectoral fragility: factors and dynamicsMacroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Macroeconomic Dynamics and Cr…Credit Risk : Pricing, Measurement, and Management (2003)Credit Risk : Pricing, Measur…Equity and Bond Market Signals as Leading Indicators of Bank Fragility (2002)Equity and Bond Market Signal…A guide to choosing absolute bank capital requirements (2002)A guide to choosing absolute …Explaining Cointegration Analysis: Part II (2001)Explaining Cointegration Anal…Counterparty Risk and the Pricing of Defaultable Securities (2001)Counterparty Risk and the Pri…Modelling of cointegration in the vector autoregressive model (2000)Modelling of cointegration in…A comparative anatomy of credit risk models (2000)A comparative anatomy of cred…A comparative analysis of current credit risk models (2000)A comparative analysis of cur…Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms (1999)Credit Risk Measurement: New …A GENERALIZED FRAMEWORK FOR CREDIT RISK PORTFOLIO MODELS (1999)A GENERALIZED FRAMEWORK FOR C…Structural Analysis of Cointegrating VARs (1998)Structural Analysis of Cointe…Portfolio Credit Risk (1998)Portfolio Credit RiskInference in Cointegrating Models: UK M1 Revisited (1998)Inference in Cointegrating Mo…Forecasting Default Rates on High-Yield Bonds (1996)Forecasting Default Rates on …Finding Cointegration Rank in High Dimensional Systems Using the Johansen Test: An Illustration Using Data Based Monte Carlo Simulations (1996)Finding Cointegration Rank in…The impact of FinTech technology on financial stability of the UAE (2024)The impact of FinTech technol…Interdependencies between Expected Default Frequency and the Macro Economy (2018)Interdependencies between Exp…A market-based approach to sector risk determinants and transmission in the euro area (2013)A market-based approach to se…A Macroprudential Framework for Monitoring and Examining Financial Soundness (2010)A Macroprudential Framework f…Macroeconomic impact on expected default frequency (2008)Macroeconomic impact on expec…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)LONG-RUN STRUCTURAL MODELLING (2002)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)Environment Kuznets curve for CO2 emissions: A cointegration analysis for China (2009)Statistical analysis of cointegration vectors (1988)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Interaction between housing prices and household borrowing: The Finnish case (2008)Are REITs real estate? Evidence from international sector level data (2012)Are gold and silver a hedge against inflation? A two century perspective (2015)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modern Portfolio Theory and Investment Analysis. (1982)Economic Forces and the Stock Market (1986)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Risk Assessment for Banking Systems (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Introductory Econometrics for Finance (2008)Economic growth and pollutant emissions in Tunisia: An empirical analysis of the environmental Kuznets curve (2009)The role of energy in economic growth (2011)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Macroeconomics and Reality (1980)Market conditions, default risk and credit spreads (2009)Non-Performing Loans: What Matters in Addition to the Economic Cycle? (2013)Key Determinants of Non-performing Loans: New Evidence from a Global Sample (2015)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Common Failings: How Corporate Defaults Are Correlated (2007)Credit Contagion from Counterparty Risk (2009)Value at Risk (2000)Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics (2008)Incorporating sustainability criteria into credit risk management (2008)Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature (2001)Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)How Profitable Is Capital Structure Arbitrage? (2006)Safer ratios, riskier portfolios: Banks׳ response to government aid (2014)The intersection of market and credit risk (2000)Credit risk optimization with Conditional Value-at-Risk criterion (2001)
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References

  • 2000A comparative analysis of current credit risk models967 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 2001Counterparty Risk and the Pricing of Defaultable Securities662 cited
  • 2003Credit Risk : Pricing, Measurement, and Management587 cited
  • 2001Explaining Cointegration Analysis: Part II552 cited
  • 1998Structural Analysis of Cointegrating VARs497 cited
  • 2006Macroeconomic Dynamics and Credit Risk: A Global Perspective408 cited
  • 1998Portfolio Credit Risk362 cited
  • 1999Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms322 cited
  • 1998Inference in Cointegrating Models: UK M1 Revisited203 cited
  • 2002Equity and Bond Market Signals as Leading Indicators of Bank Fragility189 cited
  • 2000Modelling of cointegration in the vector autoregressive model115 cited
  • 1996Finding Cointegration Rank in High Dimensional Systems Using the Johansen Test: An Illustration Using Data Based Monte Carlo Simulations89 cited
  • 1996Forecasting Default Rates on High-Yield Bonds85 cited
  • 2002A guide to choosing absolute bank capital requirements80 cited

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1999
A GENERALIZED FRAMEWORK FOR CREDIT RISK PORTFOLIO MODELS
57 cited

Cited by

  • 2010A Macroprudential Framework for Monitoring and Examining Financial Soundness39 cited
  • 2013A market-based approach to sector risk determinants and transmission in the euro area22 cited
  • 2008Macroeconomic impact on expected default frequency20 cited
  • 2018Interdependencies between Expected Default Frequency and the Macro Economy17 cited
  • 2024The impact of FinTech technology on financial stability of the UAE17 cited