A spread-return mean-reverting model for credit spread dynamics
Brendan O'Donoghue, Matthew Peacock, Jacky Lee and Luca Capriotti
| Year of publication: |
2014
|
|---|---|
| Authors: | O'Donoghue, Brendan ; Peacock, Matthew ; Lee, Jacky ; Capriotti, Luca |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 3, p. 1-14
|
| Subject: | redit default swaps | credit risk | risk management | return autocorrelation | heavy tails | model fitting | Kreditrisiko | Credit risk | Theorie | Theory | Risikomanagement | Risk management | Zinsstruktur | Yield curve | Swap | Autokorrelation | Autocorrelation | Kreditderivat | Credit derivative | Portfolio-Management | Portfolio selection | Risikoprämie | Risk premium |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010364761