Credit and Systemic Risks in the Financial Services Sector: Evidence from the 2008 Global Crisis

34 Pages Posted: 11 May 2019

See all articles by Jean-François Bégin

Jean-François Bégin

Simon Fraser University

Mathieu Boudreault

University of Quebec at Montreal (UQAM)

Delia Alexandra Doljanu

National Bank of Canada

Geneviève Gauthier

HEC Montreal

Date Written: June 2019

Abstract

We develop a portfolio credit risk model that includes firm‐specific Markov‐switching regimes as well as individual stochastic and endogenous recovery rates. Using weekly credit default swap premiums for 35 financial firms, we analyze the credit risk of each of these companies and their statistical linkages, putting emphasis on the 2005–2012 period. Moreover, we study the systemic risk affecting both the banking and insurance subsectors.

Suggested Citation

Bégin, Jean-François and Boudreault, Mathieu and Doljanu, Delia Alexandra and Gauthier, Geneviève, Credit and Systemic Risks in the Financial Services Sector: Evidence from the 2008 Global Crisis (June 2019). Journal of Risk and Insurance, Vol. 86, Issue 2, pp. 263-296, 2019. Available at SSRN: https://ssrn.com/abstract=3385677 or http://dx.doi.org/10.1111/jori.12210

Jean-François Bégin (Contact Author)

Simon Fraser University ( email )

8888 University Drive
Burnaby, British Columbia V5A 1S6
Canada

HOME PAGE: http://www.sfu.ca/~jbegin

Mathieu Boudreault

University of Quebec at Montreal (UQAM) ( email )

PB 8888 Station DownTown
Succursale Centre Ville
Montreal, Quebec H3C3P8
Canada

Delia Alexandra Doljanu

National Bank of Canada ( email )

Canada

Geneviève Gauthier

HEC Montreal ( email )

3000, Chemin de la Côte-Sainte-Catherine
Montreal, Quebec H2X 2L3
Canada

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