13-063/IV - Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics

• Authors
  Andre Lucas, VU University Amsterdam; Bernd Schwaab, European Central Bank, Financial Markets Research; Xin Zhang, VU University Amsterdam, and Sveriges Riksbank, Research Division
• Publication date
  May 13, 2013

• Keywords
  systemic risk; dynamic equicorrelation model; generalized hyperbolic distribution; Law of Large Numbers
• JEL
  G21, C32