Global market conditions and systemic risk /

This paper examines several key global market conditions, such as a proxy for market uncertainty and measures of interbank funding stress, to assess financial volatility and the likelihood of crisis. Using Markov regime-switching techniques, it shows that the Lehman Brothers failure was a watershed...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: González-Hermosillo, Brenda (Autor), Hesse, Heiko (Autor)
Autor Corporativo: International Monetary Fund. Monetary and Capital Markets Department
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, D.C.] : International Monetary Fund, ©2009.
Colección:IMF working paper ; WP/09/230.
Temas:
2008-2009
Global Financial Crisis, 2008-2009.
Financial crises > Econometric models.
Risk management > Econometric models.
Time-series analysis > Econometric models.
Crise financière mondiale, 2008-2009.
Gestion du risque > Modèles économétriques.
Série chronologique > Modèles économétriques.
Financial crises > Econometric models
Risk management > Econometric models
Time-series analysis > Econometric models
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