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Monitoring systemic risk based on dynamic thresholds [[electronic resource] /] / prepared by Kasper Lund-Jensen
| Monitoring systemic risk based on dynamic thresholds [[electronic resource] /] / prepared by Kasper Lund-Jensen |
| Autore | Lund-Jensen Kasper |
| Pubbl/distr/stampa | Washington, : International Monetary Fund, 2012 |
| Descrizione fisica | 1 online resource (37 p.) |
| Collana | IMF working paper |
| Soggetto topico |
Financial risk management
Risk management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4755-8973-5
1-4755-3725-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; I. Introduction; II. Related Literature; III. Econometric Methodology and Model Specification; A. Model Specification; Figures; 1. Binary Response Model Structure; Tables; 1. Countries in Data Sample; 2. Systemic Banking Crises, 1970-2010; IV. Estimation Results; 3. Standardized Marginal Effects; 4. Systemic Risk Factors; 2. Systemic Risk Factors based on Dynamic Logit Model, 1970-2010; V. Monitoring Systemic Risk; A. The Signal Extraction Approach; 3. Signal Classification; B. Crisis signals based on binary response model; 5. Optimal Threshold
4. Monitoring Systemic Risk, 1970-2010C. Risk Factor Thresholds; 6. Systemic Risk Estimates and Crisis Signals; 7. Credit-to-GDP Growth Threshold; D. Out-of-Sample Analysis; 5. Monitoring Systemic Risk - Out-of-Sample Analysis: 2001-2010; VI. Concluding Remarks; 8. Systemic Risk Estimates for the United States; Appendices; I. Data Sources and Description; 6. Systemic Risk Factors (1/2), 1970-2010; II. Binary Response Model Estimation Results; 7. Systemic Risk Factors (2/2), 1970-2010; 8. Systemic Risk Factors based on Dynamic Logit Model (Credit-to-GDP Growth), 1970-2010 9. Systemic Banking Crises DatesIII. Systemic Banking Crises Dates; References |
| Record Nr. | UNINA-9910462484503321 |
Lund-Jensen Kasper
|
||
| Washington, : International Monetary Fund, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Monitoring Systemic Risk Basedon Dynamic Thresholds / / Kasper Lund-Jensen
| Monitoring Systemic Risk Basedon Dynamic Thresholds / / Kasper Lund-Jensen |
| Autore | Lund-Jensen Kasper |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (37 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Financial risk management
Risk management Banks and Banking Finance: General Macroeconomics Foreign Exchange General Financial Markets: Government Policy and Regulation Financial Crises Banks Depository Institutions Micro Finance Institutions Mortgages Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: Other Financial Markets and the Macroeconomy Finance Economic & financial crises & disasters Banking Currency Foreign exchange Systemic risk Systemic crises Commercial banks Systemic risk assessment Financial sector policy and analysis Financial crises Financial institutions Real effective exchange rates Banks and banking |
| ISBN |
1-4755-8973-5
1-4755-3725-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; I. Introduction; II. Related Literature; III. Econometric Methodology and Model Specification; A. Model Specification; Figures; 1. Binary Response Model Structure; Tables; 1. Countries in Data Sample; 2. Systemic Banking Crises, 1970-2010; IV. Estimation Results; 3. Standardized Marginal Effects; 4. Systemic Risk Factors; 2. Systemic Risk Factors based on Dynamic Logit Model, 1970-2010; V. Monitoring Systemic Risk; A. The Signal Extraction Approach; 3. Signal Classification; B. Crisis signals based on binary response model; 5. Optimal Threshold
4. Monitoring Systemic Risk, 1970-2010C. Risk Factor Thresholds; 6. Systemic Risk Estimates and Crisis Signals; 7. Credit-to-GDP Growth Threshold; D. Out-of-Sample Analysis; 5. Monitoring Systemic Risk - Out-of-Sample Analysis: 2001-2010; VI. Concluding Remarks; 8. Systemic Risk Estimates for the United States; Appendices; I. Data Sources and Description; 6. Systemic Risk Factors (1/2), 1970-2010; II. Binary Response Model Estimation Results; 7. Systemic Risk Factors (2/2), 1970-2010; 8. Systemic Risk Factors based on Dynamic Logit Model (Credit-to-GDP Growth), 1970-2010 9. Systemic Banking Crises DatesIII. Systemic Banking Crises Dates; References |
| Record Nr. | UNINA-9910785528503321 |
|
Lund-Jensen Kasper
|
||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Monitoring Systemic Risk Basedon Dynamic Thresholds / / Kasper Lund-Jensen
| Monitoring Systemic Risk Basedon Dynamic Thresholds / / Kasper Lund-Jensen |
| Autore | Lund-Jensen Kasper |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (37 p.) |
| Disciplina | 332.1/52 |
| Collana | IMF Working Papers |
| Soggetto topico |
Financial risk management
Risk management Banking Banks and Banking Banks and banking Banks Commercial banks Currency Depository Institutions Economic & financial crises & disasters Finance Finance: General Financial Crises Financial crises Financial institutions Financial Markets and the Macroeconomy Financial sector policy and analysis Foreign Exchange Foreign exchange General Financial Markets: Government Policy and Regulation Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: Other Macroeconomics Micro Finance Institutions Mortgages Real effective exchange rates Systemic crises Systemic risk assessment Systemic risk |
| ISBN |
9781475589733
1475589735 9781475537253 1475537255 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; I. Introduction; II. Related Literature; III. Econometric Methodology and Model Specification; A. Model Specification; Figures; 1. Binary Response Model Structure; Tables; 1. Countries in Data Sample; 2. Systemic Banking Crises, 1970-2010; IV. Estimation Results; 3. Standardized Marginal Effects; 4. Systemic Risk Factors; 2. Systemic Risk Factors based on Dynamic Logit Model, 1970-2010; V. Monitoring Systemic Risk; A. The Signal Extraction Approach; 3. Signal Classification; B. Crisis signals based on binary response model; 5. Optimal Threshold
4. Monitoring Systemic Risk, 1970-2010C. Risk Factor Thresholds; 6. Systemic Risk Estimates and Crisis Signals; 7. Credit-to-GDP Growth Threshold; D. Out-of-Sample Analysis; 5. Monitoring Systemic Risk - Out-of-Sample Analysis: 2001-2010; VI. Concluding Remarks; 8. Systemic Risk Estimates for the United States; Appendices; I. Data Sources and Description; 6. Systemic Risk Factors (1/2), 1970-2010; II. Binary Response Model Estimation Results; 7. Systemic Risk Factors (2/2), 1970-2010; 8. Systemic Risk Factors based on Dynamic Logit Model (Credit-to-GDP Growth), 1970-2010 9. Systemic Banking Crises DatesIII. Systemic Banking Crises Dates; References |
| Record Nr. | UNINA-9910954507303321 |
|
Lund-Jensen Kasper
|
||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||