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The pricing of correlated default risk: evidence from the credit derivatives market

1st Person: Zhu, Haibin
Additional Persons: Tarashev, Nikola A.
Type of Publication: Paper
Language: English
Published: Deutsche Bundesbank 2008
Series: Discussion Paper Series 2
Keywords: Credit Default Swap
Finanzderivat
Börsenkurs
Kreditrisiko
Portfolio-Management
Risikoprämie
Korrelation
Kopula (Mathematik)
Theorie
USA
Credit derivative
Derivative
Credit risk
Portfolio selection
Correlation
Theory
United States
Online: https://www.econstor.eu/bitstream/10419/19786/1/200809dkp_b_.pdf

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