Systemic Risk Modeling : How Theory Can Meet Statistics /
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,...
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| Další autoři: | , |
| Médium: | Časopis |
| Jazyk: | English |
| Vydáno: |
Washington, D.C. :
International Monetary Fund,
2020.
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| Edice: | IMF Working Papers; Working Paper ;
No. 2020/054 |
| On-line přístup: | Full text available on IMF |