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Estimating Expected and Unexpected Losses for Agricultural Mortgage Portfolios

Jonathan B. Dressler and Loren W. Tauer.

in American Journal of Agricultural Economics

October 2016; p ublished online July 2016 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Econometric Modelling; Banking; Corporate Governance; Agricultural Economics. 8368 words.

The financial crisis that began in 2008 placed renewed emphasis and responsibility on financial institutions to assess financial risks and provide evidence of adequate capital to...

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Is Tail Risk Priced in Credit Default Swap Premia?

Christian Meine, Hendrik Supper and Gregor N. F. Weiß.

in Review of Finance

March 2016; p ublished online March 2015 .

Journal Article. Subjects: Banking; Econometric Modelling; Economics. 19472 words.

We show that the propensity of a bank to experience extreme co-movements in its credit default swap (CDS) premia together with the market is priced in the bank’s default swap spread during...