Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
I. Anagnostou, T. Squartini, D. Kandhai and D. Garlaschelli
| Year of publication: |
2021
|
|---|---|
| Authors: | Anagnostou, I. ; Squartini, T. ; Kandhai, D. ; Garlaschelli, D. |
| Subject: | Applications to default risk | Community detection | Correlation matrices | Correlation modelling | Credit default swaps | Financial time series | Multi-factor models | Kreditrisiko | Credit risk | Kreditderivat | Credit derivative | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Derivat | Derivative |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1890807 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012624151