A Simple Econometric Approach for Modeling Stress Event Intensities

Zusammenfassung

The authors would like to thank the editor Bob Webb, and the participants of the 2014 Deakin University Conference on the Performance of Financial Markets and Credit Derivatives for helpful and valuable comments. The support by the Centre for International Finance and Regulation (CIFR, project number E001) is gratefully acknowledged. CIFR is funded by the Commonwealth and NSW Governments and supported by other Consortium members (see www.cifr.edu.au).