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

WP/13/218

Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR
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 European countries and the United States. It is an integrated macroeconomic systemic risk model framework that draws on the advantages of... READ MORE...

Publication date: October 2013
ISBN 9781484322185
$18.00

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Publication date: October 2013

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Publication date: October 2013

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