Credit contagion in a long range dependent macroeconomic factor model
Year of publication: |
2011
|
---|---|
Authors: | Biagini, Francesca ; Fuschini, Serena ; Klüppelberg, Claudia |
Published in: |
Advanced mathematical methods for finance. - Heidelberg [u.a.] : Springer, ISBN 3-642-18411-1. - 2011, p. 105-132
|
Subject: | Kreditrisiko | Credit risk | Ansteckungseffekt | Contagion effect | Finanzanalyse | Financial analysis | Optionspreistheorie | Option pricing theory | Konjunktur | Business cycle | Faktorenanalyse | Factor analysis | Stochastischer Prozess | Stochastic process | Theorie | Theory |
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