Stress-testing euro area corporate default probabilities using a global macroeconomic model

Author:

Castrén Olli,Dées Stéphane,Zaher Fadi

Publisher

Elsevier BV

Subject

General Economics, Econometrics and Finance,Finance

Reference34 articles.

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2. Aspachs, O., Goodhart, C., Tsomocos, D.P., Zicchino, L., 2006. Towards a measure of financial fragility, Working Papers, Oxford University. http://www.finance.ox.ac.uk/file_links/finecon_papers/2006fe04.pdf.

3. Baxter, M., Kouparitsas, M.A., 2004. Determinants of business cycle comovement: A robust analysis. NBER Working Paper No. W10725.

4. Bias-corrected estimation in dynamic panel data models;Bun;Journal of Business and Economic Statistics,2005

5. Castrén, O., Fitzpatrick, T., Sydow, M., 2009. Assessing portfolio credit risk changes in a sample of euro area large and complex banking groups in reaction to macroeconomic shocks. ECB Working Paper No. 1002.

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