Dynamic dependence and diversification in corporate credit
Year of publication: |
2018
|
---|---|
Authors: | Christoffersen, Peter F. ; Jacobs, Kris ; Jin, Xisong ; Langlois, Hugues |
Published in: |
Review of finance : journal of the European Finance Association. - Oxford : Oxford Univ. Press, ISSN 1572-3097, ZDB-ID 2145284-2. - Vol. 22.2018, 2, p. 521-560
|
Subject: | Credit risk | Default risk | CDS | Dynamic dependence | Copula | Kreditrisiko | Finanzdienstleistung | Financial services | Kreditderivat | Credit derivative | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management | Insolvenz | Insolvency | Risikoprämie | Risk premium |
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