Two-Way Risk Connections Elicitation
Exploration of the two-way causal relations
We explore the bivariate risk connections among the system S-BFIs-C:
- Sovereigns – BFIs
- Sovereigns – Corporate Sectors
- BFIs – Corporate Sectors
List of methodologies to capture the two-way linkages (i) PC Regression analysis; (ii) Canonical Correlations and Latent Class Analysis (LCA); (iii) VAR models; (iv) Frailty models and dynamic latent component analysis; (v) Student-t full-factor multivariate GARCH models; (vi) Factor models with time-varying and stochastic coefficients.
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