Structural Dynamic Analysis of Systematic Risk

Laurent Calvet, Veronika Czellar () and Christian Gourieroux
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Veronika Czellar: Department of Accounting, Law Finance and Economics, EDHEC Business School

No 2016-19, Working Papers from Center for Research in Economics and Statistics

Keywords: Systemically Important Financial Institutions (SIFI); Merton's model; Value of the Firm; indirect inference; rating; ABC ltering and smooth-ing. (search for similar items in EconPapers)
Pages: 63
Date: 2016-06
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