Papenbrock, Jochen; Rachev, Svetlozar; Hochstotter, Markus - In: Applied Financial Economics 19 (2009) 17, pp. 1401-1416
The emergence of Credit Default Swap (CDS) indices and corresponding credit risk transfer markets with high liquidity and narrow bid-ask spreads has created standard benchmarks for market credit risk and correlation against which portfolio credit risk models can be calibrated. Integrated risk...