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10-104/2 - Systemic Risk Diagnostics

  • Authors
    Bernd Schwaab, VU University Amsterdam, and European Central Bank; Andre Lucas, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam
  • Publication date
    October 18, 2010
  • Keywords
    financial crisis; systemic risk; credit portfolio models; frailty-correlated defaults; state space methods
  • JEL
    G21, C33
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