Contagion effect on bond portfolio risk measures in a hybrid credit risk model
Year of publication: |
2014
|
---|---|
Authors: | Boudreault, Mathieu ; Gauthier, Geneviève ; Thomassin, Tommy |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 11.2014, 2, p. 131-139
|
Subject: | Credit risk | Recovery risk | Contagion | Bond portfolio | Value-at-Risk | Theorie | Theory | Finanzdienstleistung | Financial services | Kreditrisiko | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Ansteckungseffekt | Contagion effect | Risikomanagement | Risk management | Unternehmensanleihe | Corporate bond | Anleihe | Bond |
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