Systematic credit risk : CDX index correlation and extreme dependence
Sofiane Aboura and Niklas Wagner
| Year of publication: |
2008
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|---|---|
| Authors: | Aboura, Sofiane ; Wagner, Niklas |
| Published in: |
Credit risk : models, derivatives, and management. - Boca Raton, Fla [u.a.] : CRC Press, ISBN 1-58488-994-2. - 2008, p. 377-390
|
| Subject: | Kreditrisiko | Credit risk | Korrelation | Correlation | Theorie | Theory | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003718581