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Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR

Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR »

Source: Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR

Volume/Issue: 2013/218

Series: IMF Working Papers

Author(s): Dale Gray

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 October 2013

ISBN: 9781484322185

Keywords: contingent claims analysis (CCA), global vector autoregression (GVAR), banking, banking systems, banking system, sovereign risk, Model Construction and Estimation,

The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 Europe...

Regional Financial Interlinkages and Financial Contagion within Europe

Regional Financial Interlinkages and Financial Contagion within Europe »

Source: Regional Financial Interlinkages and Financial Contagion within Europe

Volume/Issue: 2009/6

Series: IMF Working Papers

Author(s): Inci Ötker , Karl Driessen , and Zsófia Árvai

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2009

ISBN: 9781451871531

Keywords: Financial linkages, contagion, spillover effects, funding exposure, credit growth, Central, Eastern, Southeastern Europe, claims, banking

This paper focuses on financial interlinkages within Europe and potential contagion channeled through these interlinkages. It discusses the increased role of external financing as a source of funding for credit gro...

Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR

Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR »

Volume/Issue: 2013/218

Series: IMF Working Papers

Author(s): Dale Gray

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 October 2013

DOI: http://dx.doi.org/10.5089/9781484322185.001

ISBN: 9781484322185

Keywords: contingent claims analysis (CCA), global vector autoregression (GVAR), banking, banking systems, banking system, sovereign risk, Model Construction and Estimation,

The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 Europe...

Regional Financial Interlinkages and Financial Contagion within Europe

Regional Financial Interlinkages and Financial Contagion within Europe »

Volume/Issue: 2009/6

Series: IMF Working Papers

Author(s): Inci Ötker , Karl Driessen , and Zsófia Árvai

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2009

DOI: http://dx.doi.org/10.5089/9781451871531.001

ISBN: 9781451871531

Keywords: Financial linkages, contagion, spillover effects, funding exposure, credit growth, Central, Eastern, Southeastern Europe, claims, banking

This paper focuses on financial interlinkages within Europe and potential contagion channeled through these interlinkages. It discusses the increased role of external financing as a source of funding for credit gro...