Credit contagion in the presence of non-normal shocks
Year of publication: |
2015
|
---|---|
Authors: | Batiz-Zuk, Enrique ; Christodoulakis, George ; Poon, Ser-Huang |
Published in: |
International Review of Financial Analysis. - Elsevier, ISSN 1057-5219. - Vol. 37.2015, C, p. 129-139
|
Publisher: |
Elsevier |
Subject: | Vasicek–Merton credit loss distribution | Single factor model | Contagion | Basel | Non-Gaussian distributions | Skew-Normal | Skew-Student t |
-
Credit contagion in the presence of non-normal shocks
Batiz-Zuk, Enrique, (2015)
-
Essays on Credit Markets and Banking
Holmberg, Ulf, (2012)
-
Credit Contagion in the Presence of Non-Normal Shocks
Bátiz-Zuk, Enrique, (2022)
- More ...
-
The robustness of estimatiors in structural credit loss distributions
Batiz-Zuk, Enrique, (2015)
-
Credit contagion in the presence of non-normal shocks
Batiz-Zuk, Enrique, (2015)
-
Structural credit loss distributions under non-normality
Batiz-Zuk, Enrique, (2013)
- More ...