Credit risk meets random matrices : coping with non-stationary asset correlations
Year of publication: |
June 2018
|
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Authors: | Mühlbacher, Andreas ; Guhr, Thomas |
Subject: | credit risk | financial markets | non-stationarity | random matrices | structural models | Wishart model | Kreditrisiko | Credit risk | Theorie | Theory | Finanzmarkt | Financial market | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Lineare Algebra | Linear algebra |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks6020042 [DOI] hdl:10419/195834 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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