Conditional sovereign CDS in market basket risk scenario : a dynamic vine-copula analysis
Qunwei Wang, Mengmeng Liu, Ling Xiao, Xingyu Dai, Matthew C. Li, Fei Wu
| Year of publication: |
2022
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|---|---|
| Authors: | Wang, Qunwei ; Liu, Mengmeng ; Xiao, Ling ; Dai, Xingyu ; Li, Matthew C. ; Wu, Fei |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 80.2022, p. 1-14
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| Subject: | BRICS countries | Dynamic Vine-Copula | G7 countries | Risk scenario | Sovereign CDS | Kreditderivat | Credit derivative | Länderrisiko | Country risk | BRICS-Staaten | Risikoprämie | Risk premium | Welt | World | Kreditrisiko | Credit risk | Öffentliche Anleihe | Public bond |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2022.102025 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013366159