A multilevel factor approach for the analysis of CDS commonality and risk contribution
Year of publication: |
2019
|
---|---|
Authors: | Rodríguez-Caballero, Carlos Vladimir ; Caporin, Massimiliano |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 63.2019, p. 1-18
|
Subject: | CDS risk factors | Multilevel factor models | Risk contribution | Kreditderivat | Credit derivative | Faktorenanalyse | Factor analysis | Risiko | Risk | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Risikomaß | Risk measure | Risikoprämie | Risk premium | Risikomanagement | Risk management |
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