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