Explaining cross-sectional differences in credit default swap spreads : an alternative approach using value at risk
Year of publication: |
2009
|
---|---|
Authors: | Breitenfellner, Bastian ; Wagner, Niklas F. |
Published in: |
The VaR implementation handbook. - New York, NY [u.a.] : McGraw-Hill Professional, ISBN 0-07-161513-X. - 2009, p. 121-137
|
Subject: | Kreditderivat | Credit derivative | Kreditversicherung | Credit insurance | Risikomaß | Risk measure | Empirische Methode | Empirical method |
-
The age of turbulence : credit derivatives style
Byström, Hans N. E., (2008)
-
The role of market-implied severity modeling for credit VaR
Baixauli, J. Samuel, (2010)
-
Credit risk management in Greater China
Byström, Hans N. E., (2008)
- More ...
-
Breitenfellner, Bastian, (2010)
-
Explaining aggregate credit default swap spreads
Breitenfellner, Bastian, (2012)
-
Breitenfellner, Bastian, (2010)
- More ...