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|c 5.00 USD
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|z 9781513536170
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|a 1018-5941
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|a BD-DhAAL
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|a Espinoza, Raphael.
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|a Systemic Risk Modeling :
|b How Theory Can Meet Statistics /
|c Raphael Espinoza, Miguel Segoviano, Ji Yan.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2020.
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|a 1 online resource (39 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a We propose a framework to link empirical models of systemic risk to theoretical network/ general equilibrium models used to understand the channels of transmission of systemic risk. The theoretical model allows for systemic risk due to interbank counterparty risk, common asset exposures/fire sales, and a 'Minsky" cycle of optimism. The empirical model uses stock market and CDS spreads data to estimate a multivariate density of equity returns and to compute the expected equity return for each bank, conditional on a bad macro-outcome. Theses 'cross-sectional" moments are used to re-calibrate the theoretical model and estimate the importance of the Minsky cycle of optimism in driving systemic risk.
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|a Mode of access: Internet
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|a Segoviano, Miguel.
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|a Yan, Ji.
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|a IMF Working Papers; Working Paper ;
|v No. 2020/054
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2020/054/001.2020.issue-054-en.xml
|z IMF e-Library
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