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From 2004 to 2015, the market perception of the sovereign risks of the Euro area government bonds experienced several different phases, reflected in a clear time structure of the correlation matrix between the yield changes. "Core" and "peripheral" bonds cluster in a bloc-like structure, but the...
Persistent link: https://www.econbiz.de/10012971807
From 2004 to 2015, the market perception of the sovereign risks of the euro area government bonds experienced several different phases, reflected in a clear time structure of the correlation matrix between the yield changes. "Core" and "peripheral" bonds cluster in a bloc-like structure, but the...
Persistent link: https://www.econbiz.de/10015297184
Persistent link: https://www.econbiz.de/10001590972
We develop a multi-agent framework based on probabilistic cellular automata theory to describe off-equilibrium dynamics in the context of the economic problem of price adjustment in different strategic situations as investigated experimentally by Fehr and Tyran (2001) and (2008). It is found...
Persistent link: https://www.econbiz.de/10009300336
Persistent link: https://www.econbiz.de/10014011852
Persistent link: https://www.econbiz.de/10003427392
In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we analytically calculate their interrisk correlation and show how...
Persistent link: https://www.econbiz.de/10012989273
In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we analytically calculate their interrisk correlation and show how...
Persistent link: https://www.econbiz.de/10003721586
Persistent link: https://www.econbiz.de/10001366223
Persistent link: https://www.econbiz.de/10001632459