Dynamic dependence and diversification in corporate credit
Peter Christoffersen, Kris Jacobs, Xisong Jin, and Hugues Langlois
| Year of publication: |
2018
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|---|---|
| Authors: | Christoffersen, Peter F. ; Jacobs, Kris ; Jin, Xisong ; Langlois, Hugues |
| Published in: |
Review of finance : journal of the European Finance Association. - Oxford : Oxford Univ. Press, ISSN 1572-3097, ZDB-ID 2145284-2. - Vol. 22.2018, 2, p. 521-560
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| Subject: | Credit risk | Default risk | CDS | Dynamic dependence | Copula | Kreditrisiko | Kreditderivat | Credit derivative | Multivariate Verteilung | Multivariate distribution | Diversifikation | Diversification | Theorie | Theory | Insolvenz | Insolvency | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/rof/rfx034 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011990811