Series: IMF Working Papers
Author(s): Dale Gray
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 23 October 2013
Keywords: contingent claims analysis (CCA), global vector autoregression (GVAR), banking, banking systems, banking system, sovereign risk, Model Construction and Estimation,
The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 Europe...