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. - Elsevier, ISSN 1544-6123. - Vol. 11.2014, 2, p. 131-139
|
Publisher: |
Elsevier |
Subject: | Credit risk | Recovery risk | Contagion | Bond portfolio | Value-at-Risk |
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