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## Production: IMF Multimedia Services Division (2009)

### Citations

2236 | On the pricing of corporate debt: The risk structure of interest rates - Merton - 1974 |

2195 | On information and sufficiency - Kullback, Leibler - 1951 |

1797 | Information Theory and Statistics
- Kullback
- 1959
(Show Context)
Citation Context ...using a particular technique, the consistent information multivariate density optimizing (CIMDO) methodology (Segoviano, 2006), which is a nonparametric framework based on the cross-entropy approach (=-=Kullback, 1959-=-). 31 The second measure—distress between specific institutions—is analyzed in Chapter 2. These conditional probabilities, summarized in a distress dependence matrix, should not only be seen as an ind... |

907 | The twin crises: The causes of banking and balance-of-payments problems. American Economic Review
- Kaminsky, Reinhart
- 1999
(Show Context)
Citation Context ... on a binomial notion whereby the dependent variable takes the value of 1 during the known, ex post, crisis period or zero otherwise with no information about the actual severity of the crises (e.g., =-=Kaminsky and Reinhart, 1999-=-; Hardy and Pazarbasioglu, 1999; Demirgüç-Kunt and Detragiache, 1998; Davis and Karim, 2008; and Weistroffer and Vallés, 2008). 8 A body of literature on contagion examines these additional links. See... |

148 | Contagion: Monsoonal Effects, Spillovers, and Jumps between Multiple Equilibria,” - Masson - 1999 |

90 | From value at risk to stress testing: The extreme value approach - Longin - 2000 |

61 | Credit Risk Modeling. - Lando - 2004 |

57 |
Pre-announcement and event-period private information,
- Kim, Verrecchia
- 1997
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Citation Context ...n Chase & Co. European banks = Deutsche Bank, Royal Bank of Scotland, and UBS. CDS = credit default swap. 400 350 300 250 200 150 100 50 0 Average CDS spread, in basis points information asymmetries (=-=Kim and Verrecchia, 1997-=-). Thus, this section uses implied volatilities from at-the-money equity options to examine simultaneous co-movements in the left-hand tails of the equity distribution as a measure of “tail dependence... |

50 |
Stress-testing financial systems: an overview of current methodologies.
- Sorge
- 2004
(Show Context)
Citation Context ...surveillance carried out by the IMF across countries. However, recent studies suggest that FSIs may not fully capture risks (e.g., Cihák and Schaeck, 2007; Poghosyan and Cihák, 2009; Bergo, 2002; and =-=Sorge, 2004-=-), suggesting that FSIs need to be complemented by other indicators, including market data. 114“Fundamental” Characteristics of Intervened and Nonintervened Financial Institutions Table 3.1. Selected... |

35 | Hedge Funds, Systemic Risk, and the Financial Crisis of 2007–2008: Written Testimony for the House Oversight Committee Hearing on - Lo - 2008 |

29 | Banking Stability Measures,
- Segoviano, Goodhart
- 2009
(Show Context)
Citation Context ...onent of the subindex is a banking stability index, which represents the expected number of defaults among large complex financial institutions (LCFIs), given at least one LCFI default (Segoviano and =-=Goodhart, 2009-=-). This index is intended to highlight market perceptions of systemic default risk in the financial sector. To capture broader credit risks, we also include delinquency rates on a wide range of other ... |

24 |
Extreme Value Dependence in
- POON, ROCKINGER, et al.
- 2004
(Show Context)
Citation Context ...a nonparametric measure of joint tail dependence based on multivariate extreme value theory is defined in order to quantify the possibility of common extreme shocks (Coles, Heffernan, and Tawn, 1999; =-=Poon, Rockinger, and Tawn, 2004-=-; Stephenson, 2003; and Jobst, 2007b). As an integral part of this approach, this dependence structure links the univariate marginal distributions in a way that formally captures joint asymptotic tail... |

17 | Distress in European Banks: An Analysis Based on a New Data - Poghosyan, Čihák - 2009 |

16 |
Consistent Information Multivariate Density Optimizing Methodology, London
- Segoviano
- 2006
(Show Context)
Citation Context ...ysis of any single one of them, since one can identify how risks 30 The FSMD is recovered using a particular technique, the consistent information multivariate density optimizing (CIMDO) methodology (=-=Segoviano, 2006-=-), which is a nonparametric framework based on the cross-entropy approach (Kullback, 1959). 31 The second measure—distress between specific institutions—is analyzed in Chapter 2. These conditional pro... |

15 | Rating Banks on Emerging Markets: What Credit Rating Agencies Should Learn from Financial Indicators.” Working Paper no. - Rojas-Suarez - 2001 |

12 |
Simulating multivariate extreme value distributions of logistic type
- Stephenson
- 2003
(Show Context)
Citation Context ...tail dependence based on multivariate extreme value theory is defined in order to quantify the possibility of common extreme shocks (Coles, Heffernan, and Tawn, 1999; Poon, Rockinger, and Tawn, 2004; =-=Stephenson, 2003-=-; and Jobst, 2007b). As an integral part of this approach, this dependence structure links the univariate marginal distributions in a way that formally captures joint asymptotic tail behavior. Using t... |

3 |
A Class of Statistics Based on the Information Concept
- PREUSS
- 1980
(Show Context)
Citation Context ...m the sum of both the overall entropy and the individual entropy of each financial institution’s univariate marginal distribution by subtracting all joint entropies that do not include all variables (=-=Preuss, 1980-=-; and Theil, 1969). A scaled entropy-based measure of dependence (called “entropy correlation”) can then be computed based on the reciprocal of the marginal contribution of each univariate entropy to ... |

2 | Nouriel Roubini, 2009, “A Proposal to Prevent Wholesale Financial Failure,” Financial Times - Pedersen |

2 | Fed Intervention: Managing Moral Hazard - Rosenblum, DiMartino, et al. - 2008 |

2 |
On the Use of Information Theory Concepts in the Analysis
- Theil
- 1969
(Show Context)
Citation Context ...the overall entropy and the individual entropy of each financial institution’s univariate marginal distribution by subtracting all joint entropies that do not include all variables (Preuss, 1980; and =-=Theil, 1969-=-). A scaled entropy-based measure of dependence (called “entropy correlation”) can then be computed based on the reciprocal of the marginal contribution of each univariate entropy to the expected mutu... |

2 |
Monitoring Banking Sector Risk: An Applied Approach,” Research Note No
- Weistroffer, Vallés
- 2008
(Show Context)
Citation Context ...therwise with no information about the actual severity of the crises (e.g., Kaminsky and Reinhart, 1999; Hardy and Pazarbasioglu, 1999; Demirgüç-Kunt and Detragiache, 1998; Davis and Karim, 2008; and =-=Weistroffer and Vallés, 2008-=-). 8 A body of literature on contagion examines these additional links. See, for example, Masson (1999); Dornbusch, Park, and Claessens (2000); and Dungey and 113Chapter 3 Detecting Systemic Risk whi... |