A copula-based systemic risk measure : application to investment-grade and high-yield CDS portfolios
So Eun Choi, Hyun Jin Jang and Geon Ho Choe
| Year of publication: |
2020
|
|---|---|
| Authors: | Choi, So Eun ; Jang, Hyun Jin ; Choe, Geon Ho |
| Subject: | copula | expected default rate | IG and HY CDS portfolios | Systemic risk measure | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Systemrisiko | Systemic risk | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Messung | Measurement | Finanzkrise | Financial crisis | Insolvenz | Insolvency | Bankrisiko | Bank risk |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2019.1676867 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012267120