Systemic Risk in Europe

Eric Jondeau and Michael Rockinger ()

Chapter 1 in Global Credit Review:Volume 3, 2014, pp 1-6 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included: IntroductionHow to Measure Systemic Risk?Modelling Systemic RiskThe Situation in EuropeThe Situation of European InstitutionsNoteReferences

Keywords: Systemic Risk; Marginal Expected Shortfall; Multi-Factor Model; Volatility; Correlation; Regulations; Credit-Rating Alternatives; Recommendations; Lawsuits; Sovereign Ratings; Non-Performing Loans; Reserve Requirements; Monetary Policy; China; Banks; Asset Quality; Central Bank; Bank Regulation; Window Guidance; Basel II Default Definition; Materiality; Probability of Default; Aggregation of Default Information; Credit Scoring; Micro-Credit Default Risk; Logistic Regression; Tunisian Microfinance Bank; Credit Portfolio Management; Funding Liquidity Management; Asset and Liability Management; Capital; Liquidity; Liquidity Coverage Ratio (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (15)

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Related works:
Journal Article: Systemic Risk in Europe (2015)
Journal Article: Systemic Risk in Europe (2013)
Working Paper: Systemic Risk in Europe (2012)
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