Elisabeth Joossens

Joint Research Centre

Via E. Fermi 1

I-21020 Ispra (VA)

Italy

Catholic University of Leuven (KUL)

Oude Markt 13

Leuven, Vlaams-Brabant

Belgium

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

The Effect of Credit Risk Transfer on Financial Stability

EUR Working Paper No. 21521 EN
Number of pages: 24 Posted: 08 Feb 2006
Dirk G. Baur and Elisabeth Joossens
University of Western Australia - Business School and Joint Research Centre
Downloads 914 (25,295)
Citation 10

Abstract:

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CDOs, CDS, Systemic risk, financial stability, securitization, economic capital

2.

Unbiased Tail Estimation by an Extension of the Generalized Pareto Distribution

CentER Discussion Paper No. 2005-112
Number of pages: 17 Posted: 14 Nov 2005
Jan Beirlant, Elisabeth Joossens and Johan Segers
Catholic University of Leuven (KUL), Joint Research Centre and Catholic University of Louvain (UCL)
Downloads 199 (155,900)

Abstract:

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bias reduction, exchange rate, heavy tails, peaks-over-threshold, regular variation, tail index