Global Market Conditions and Systemic Risk / / Brenda Gonzalez-Hermosillo, Heiko Hesse |
Autore | Gonzalez-Hermosillo Brenda |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
Descrizione fisica | 22 p. : ill |
Altri autori (Persone) | HesseHeiko |
Collana | IMF Working Papers |
Soggetto topico |
Global Financial Crisis, 2008-2009
Financial crises - Econometric models Risk management - Econometric models Time-series analysis - Econometric models Finance: General Financial Risk Management General Financial Markets: Government Policy and Regulation Financial Crises General Financial Markets: General (includes Measurement and Data) International Financial Markets Finance Economic & financial crises & disasters Systemic risk Financial crises Stock markets Currency markets Interbank markets Financial risk management Stock exchanges Foreign exchange market International finance |
ISBN |
1-4623-8603-2
1-4527-8638-0 1-4518-7377-8 1-282-84431-8 9786612844317 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNINA-9910788224403321 |
Gonzalez-Hermosillo Brenda
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Washington, D.C. : , : International Monetary Fund, , 2009 | ||
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Lo trovi qui: Univ. Federico II | ||
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Global market conditions and systemic risk / / prepared by Brenda Gonzalez-Hermosillo and Heiko Hesse |
Autore | Gonzalez-Hermosillo Brenda |
Edizione | [1st ed.] |
Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, Monetary and Capital Markets Dept., 2009 |
Descrizione fisica | 22 p. : ill |
Disciplina | 337 |
Altri autori (Persone) | HesseHeiko |
Collana | IMF working paper |
Soggetto topico |
Global Financial Crisis, 2008-2009
Financial crises - Econometric models Risk management - Econometric models Time-series analysis - Econometric models |
ISBN |
1-4623-8603-2
1-4527-8638-0 1-4518-7377-8 1-282-84431-8 9786612844317 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Intro -- Contents -- I. Introduction -- II. Overview of Systemic Risk -- III. Global Market Conditions and Systemic Risk: A Qualitative View -- IV. Markov-Regime Switching Analysis -- A. Results During the Peak of the Crisis -- B. Results After Massive Government Programs in 2009 to Address the Global Crisis -- V. Conclusion -- Figures -- 1. Euro-Dollar Forex Swap -- 2. Markov-Switching ARCH Model of VIX -- 3. Markov-Switching ARCH Model of TED Spread -- 4. Euro-Dollar Forex Swap -- 5a. Markov-Switching ARCH Model of VIX -- 5b. Markov-Switching ARCH Model of VIX -- 6a. Markov-Switching ARCH Model of TED Spread -- 6b. Markov-Switching ARCH Model of TED Spread. |
Record Nr. | UNINA-9910829094403321 |
Gonzalez-Hermosillo Brenda
![]() |
||
[Washington, D.C.], : International Monetary Fund, Monetary and Capital Markets Dept., 2009 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
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