Credit and Systemic Risks in the Financial Services Sector: Evidence From the 2008 Global Crisis
Type de ressource
Auteurs/contributeurs
- Bégin, Jean‐François (Auteur)
- Boudreault, Mathieu (Auteur)
- Doljanu, Delia Alexandra (Auteur)
- Gauthier, Geneviève (Auteur)
Titre
Credit and Systemic Risks in the Financial Services Sector: Evidence From the 2008 Global Crisis
Résumé
Abstract
We develop a portfolio credit risk model that includes firm‐specific Markov‐switching regimes as well as individual stochastic and endogenous recovery rates. Using weekly credit default swap premiums for 35 financial firms, we analyze the credit risk of each of these companies and their statistical linkages, putting emphasis on the 2005–2012 period. Moreover, we study the systemic risk affecting both the banking and insurance subsectors.
Publication
Journal of Risk and Insurance
Volume
86
Numéro
2
Pages
263-296
Date
06/2019
Abrév. de revue
J of Risk & Insurance
Langue
en
ISSN
0022-4367, 1539-6975
Titre abrégé
Credit and Systemic Risks in the Financial Services Sector
Consulté le
23/10/2024 18:28
Catalogue de bibl.
DOI.org (Crossref)
Référence
Bégin, J., Boudreault, M., Doljanu, D. A., & Gauthier, G. (2019). Credit and Systemic Risks in the Financial Services Sector: Evidence From the 2008 Global Crisis. Journal of Risk and Insurance, 86(2), 263–296. https://doi.org/10.1111/jori.12210
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