The Implications of Dependence, Tail Dependence, and Bounds’ Measures for Counterparty Credit Risk
(Accepted for publication in "Journal of Financial Stability") Abstract This paper investigates the counterparty credit risk of interest...
Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network
Abstract In this study the tail systemic risk of the Brazilian banking system is examined, using the conditional quantile as the risk...
Validation of default probability models: A stress testing approach (Int. Rev. Fin. Ana. - Vol 47)
Abstract This study aims to evaluate the techniques used for the validation of default probability (DP) models. By generating simulated...