Portfolio diversification in the sovereign credit swap markets
Andrea Consiglio, Somayyeh Lotfi, Stavros A. Zenios
| Year of publication: |
July 2016
|
|---|---|
| Authors: | Consiglio, Andrea ; Lotfi, Somayyeh ; Zenios, Stauros Andrea |
| Publisher: |
[Philadelphia] : The Wharton Financial Institutions Center, The Wharton School, University of Pennsylvania, PA |
| Subject: | Credit derivatives | portfolio diversification | Eurozone crisis | CDS spreads | Conditional Value-at-Risk | regime switching | Portfolio-Management | Portfolio selection | Kreditderivat | Credit derivative | Derivat | Derivative | Eurozone | Euro area | Risikomaß | Risk measure | Kreditrisiko | Credit risk | Swap | Welt | World | Risikoprämie | Risk premium | Finanzkrise | Financial crisis |
| Extent: | 1 Online-Ressource (circa 23 Seiten) Illustrationen |
|---|---|
| Series: | Working papers / Financial Institutions Center. - Philadelphia, Pa., ISSN 1936-9344, ZDB-ID 2189283-0. - Vol. 16, 06 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011539351