Credit and Systemic Risks in the Financial Services Sector: Evidence From the 2008 Global Crisis

Begin Jean-Francois; Boudreault Mathieu; Doljanu Delia Alexandra; Gauthier Genevieve

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Credit and Systemic Risks in the Financial Services Sector: Evidence From the 2008 Global Crisis

机译：金融服务业的信贷和系统性风险：2008年全球危机的证据

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We develop a portfolio credit risk model that includes firm-specific Markov-switching regimes as well as individual stochastic and endogenous recovery rates. Using weekly credit default swap premiums for 35 financial firms, we analyze the credit risk of each of these companies and their statistical linkages, putting emphasis on the 2005-2012 period. Moreover, we study the systemic risk affecting both the banking and insurance subsectors.

机译：我们开发了一个投资组合信用风险模型，其中包括特定于公司的马尔可夫转换方案以及个体的随机和内生回收率。使用35家金融公司的每周信用违约掉期保费，我们分析了每家公司的信用风险及其统计联系，重点是2005-2012年期间。此外，我们研究了影响银行业和保险业的系统性风险。

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《The journal of risk and insurance》 |2019年第2期|263-296|共34页
作者
Begin Jean-Francois; Boudreault Mathieu; Doljanu Delia Alexandra; Gauthier Genevieve;
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Simon Fraser Univ, Dept Stat & Actuarial Sci, 8888 Univ Dr, Burnaby, BC V5A 1S6, Canada;

Univ Quebec Montreal, Quantact, 201 President Kennedy Ave, Montreal, PQ H2X 3Y7, Canada|Univ Quebec Montreal, Gerad, Dept Math, 201 President Kennedy Ave, Montreal, PQ H2X 3Y7, Canada;

Natl Bank Canada, 600 De La Gauchetiere Ouest St, Montreal, PQ H3B 4L2, Canada;

HEC Montreal, Dept Decis Sci, Gerad, 3000 Cote St Catherine Rd, Montreal, PQ H3T 2A7, Canada;

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1. Credit and Systemic Risks in the Financial Services Sector: Evidence From the 2008 Global Crisis [J] . Begin Jean-Francois, Boudreault Mathieu, Doljanu Delia Alexandra, The journal of risk and insurance . 2019,第2期

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Credit and Systemic Risks in the Financial Services Sector: Evidence From the 2008 Global Crisis

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