01830cas a2200265 a 4500 AALejournalIMF020799 230101c9999 xx r poo 0 0eng d 5.00 USD 9781513536170 1018-5941 BD-DhAAL BD-DhAAL Espinoza, Raphael. Systemic Risk Modeling : How Theory Can Meet Statistics / Raphael Espinoza, Miguel Segoviano, Ji Yan. Washington, D.C. : International Monetary Fund, 2020. 1 online resource (39 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students We propose a framework to link empirical models of systemic risk to theoretical network/ general equilibrium models used to understand the channels of transmission of systemic risk. The theoretical model allows for systemic risk due to interbank counterparty risk, common asset exposures/fire sales, and a 'Minsky" cycle of optimism. The empirical model uses stock market and CDS spreads data to estimate a multivariate density of equity returns and to compute the expected equity return for each bank, conditional on a bad macro-outcome. Theses 'cross-sectional" moments are used to re-calibrate the theoretical model and estimate the importance of the Minsky cycle of optimism in driving systemic risk. Mode of access: Internet Segoviano, Miguel. Yan, Ji. IMF Working Papers; Working Paper ; No. 2020/054 Full text available on IMF http://elibrary.imf.org/view/journals/001/2020/054/001.2020.issue-054-en.xml IMF e-Library