Credit contagion in a long range dependent macroeconomic factor model
Francesca Biagini, Serena Fuschini, and Claudia Klüppelberg
| Year of publication: |
2011
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|---|---|
| Authors: | Biagini, Francesca ; Fuschini, Serena ; Klüppelberg, Claudia |
| Published in: |
Advanced mathematical methods for finance. - Heidelberg [u.a.] : Springer, ISBN 3-642-18411-1. - 2011, p. 105-132
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| Subject: | Kreditrisiko | Credit risk | Ansteckungseffekt | Contagion effect | Finanzanalyse | Financial analysis | Optionspreistheorie | Option pricing theory | Konjunktur | Business cycle | Faktorenanalyse | Factor analysis | Stochastischer Prozess | Stochastic process | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008991320