Credit risk connectivity in the financial industry and stabilization effects of government bailouts
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| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt, M.
Dt. Bundesbank
2012
|
| Schriftenreihe: | Discussion paper / Deutsche Bundesbank
Eurosystem 2012,16 |
| Online-Zugang: | kostenfrei Inhaltsverzeichnis |
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MARC
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| 020 | |a 9783865588258 |c (Printversion) |9 978-3-86558-825-8 | ||
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Datensatz im Suchindex
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|---|---|
| DE-BY-UBR_katkey | 5019393 |
| DE-BY-UBR_location | 00 |
| DE-BY-UBR_media_number | 069036603798 |
| _version_ | 1822756604500508672 |
| adam_text | Titel: Credit risk connectivity in the financial industry and stabilization effects of government bailouts
Autor: Bosma, Jakob
Jahr: 2012
Contents
I. Introduction 1
II. Credit default swaps and co-crash probabilities 6
A. Data........................................ 6
B. Tail dependence index estimation....................... 8
C. Co-crash probability.............................. 12
D. Test for significance of CCPs.......................... 14
E. Explaining CCPs ................................ 17
III. Connectivity 19
A. Measurement method ............................. 19
IV. Bailout events and return effects 20
A. Bailout events.................................. 20
B. Event study method .............................. 21
C. Bailout effects.................................. 22
V. Conclusion 24
A Event study methodology 31
B Tables 33
|
| any_adam_object | 1 |
| author | Bosma, Jakob Koetter, Michael 1974- Wedow, Michael 1977- |
| author_GND | (DE-588)131582054 (DE-588)130462438 |
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| bvnumber | BV040438680 |
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| collection | ebook |
| ctrlnum | (OCoLC)806210417 (DE-599)BVBBV040438680 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV040438680 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-24T02:50:17Z |
| institution | BVB |
| isbn | 9783865588265 9783865588258 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025286564 |
| oclc_num | 806210417 |
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| owner | DE-355 DE-BY-UBR DE-188 DE-12 DE-945 |
| owner_facet | DE-355 DE-BY-UBR DE-188 DE-12 DE-945 |
| physical | 48 S. |
| psigel | ebook |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Dt. Bundesbank |
| record_format | marc |
| series2 | Discussion paper / Deutsche Bundesbank |
| spellingShingle | Bosma, Jakob Koetter, Michael 1974- Wedow, Michael 1977- Credit risk connectivity in the financial industry and stabilization effects of government bailouts |
| title | Credit risk connectivity in the financial industry and stabilization effects of government bailouts |
| title_auth | Credit risk connectivity in the financial industry and stabilization effects of government bailouts |
| title_exact_search | Credit risk connectivity in the financial industry and stabilization effects of government bailouts |
| title_full | Credit risk connectivity in the financial industry and stabilization effects of government bailouts Jakob Bosma ; Michael Koetter ; Michael Wedow |
| title_fullStr | Credit risk connectivity in the financial industry and stabilization effects of government bailouts Jakob Bosma ; Michael Koetter ; Michael Wedow |
| title_full_unstemmed | Credit risk connectivity in the financial industry and stabilization effects of government bailouts Jakob Bosma ; Michael Koetter ; Michael Wedow |
| title_short | Credit risk connectivity in the financial industry and stabilization effects of government bailouts |
| title_sort | credit risk connectivity in the financial industry and stabilization effects of government bailouts |
| url | http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_07_25_dkp_16.pdf?__blob=publicationFile http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025286564&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV040156046 |
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