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13-063/IV - Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics

  • Authors
    Andre Lucas, VU University Amsterdam; Bernd Schwaab, European Central Bank, Financial Markets Research; Xin Zhang, VU University Amsterdam, and Sveriges Riksbank, Research Division
  • Publication date
    May 13, 2013
  • Keywords
    systemic risk; dynamic equicorrelation model; generalized hyperbolic distribution; Law of Large Numbers
  • JEL
    G21, C32