SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

A New Risk Indicator and Stress Testing Tool · Study

ArticleShelves

ArticleA New Risk Indicator and Stress Testing Tool

Renzo G. Avesani2006

OA

Articlebronze2006

A New Risk Indicator and Stress Testing Tool

Renzo G. Avesani · Jing Li · Antonio García Pascual

86 citations·0/0 files stored·IMF Working Paper

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Credit Risk and Financial Regulations Banking stability, regulation, efficiency Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 86 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1950TESTS OF SIGNIFICANCE IN FACTOR ANALYSIS 1996Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983- 1991 2004Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation 2007Measuring Default Risk Premia from Default Swap Rates and EDFs 2006Equity and Bond Market Signals as Leading Indicators of Bank Fragility 2004Understanding the Risk of Synthetic CDOs

Cited by

2012How Does Bank Competition Affect Systemic Stability?2011Revisiting bank profitability: A semi-parametric approach 2008Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System 2014On Bank Credit Risk: Systemic or Bank-Specific? Evidence from the US and UK 2014Has the global banking system become more fragile over time?2019Measuring and Allocating Systemic Risk

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2014Credit Default Swaps: A Surveyarticle · 4 shared references 2012Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Modelarticle · 4 shared references 2009A Framework for Assessing the Systemic Risk of Major Financial Institutionsarticle · 4 shared references 2010Distance to default, subordinated debt, and distress indicators in the banking industry*article · 4 shared references 2007Modeling and Calibration Errors in Measures of Portfolio Credit Riskpreprint · 4 shared references 2008Economic Catastrophe Bondsarticle · 3 shared references

Details

Year2006

Typearticle

Published2006-01-01

VenueIMF Working Paper

ISSN-L1018-5941

Languageen

Citations86

Files0 public / 0

ShelfCredit Risk and Financial Regulations

Identifiers

doi10.2139/ssrn.910670

openalex_workW2057779363

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2012The End of Market Discipline? Investor Expectations of Implicit State Guarantees

2011Analysing interconnectivity among economies

landingopen