Risk attribution and interconnectedness in the EU via CDS data
R. Giacometti, G. Torri, G. Farina, M.E. De Giuli
| Year of publication: |
2020
|
|---|---|
| Authors: | Giacometti, Rosella ; Torri, Gabriele ; Farina, G. ; De Giuli, Maria Elena |
| Published in: |
Computational management science. - Heidelberg : Springer, ISSN 1619-6988, ZDB-ID 2107564-5. - Vol. 17.2020, 4, p. 549-567
|
| Subject: | Credit risk | Marshall-Olkin distribution | Risk attribution | Credit default swaps | Interconnectedness | Network theory | Stress test | Kreditrisiko | Kreditderivat | Credit derivative | Risikomanagement | Risk management | Systemrisiko | Systemic risk | Bankrisiko | Bank risk | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-020-00385-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012486984