Cyclical correlations, credit contagion, and portfolio losses
Year of publication: |
2003
|
---|---|
Authors: | Giesecke, Kay ; Weber, Stefan |
Publisher: |
Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |
Subject: | Kreditrisiko | Konjunktur | Korrelation | Interindustrielle Verflechtung | Portfolio-Management | Theorie | cyclical correlation | credit contagion | portfolio losses | voter model | Bernoulli mixture model |
Series: | SFB 373 Discussion Paper ; 2003,11 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 379245477 [GVK] hdl:10419/22226 [Handle] RePEc:zbw:sfb373:200311 [RePEc] |
Source: |
-
Cyclical correlations, credit contagion, and portfolio losses
Giesecke, Kay, (2003)
-
Default correlations, macroeconomic risk and credit portfolio management
Gersbach, Hans, (1999)
-
Cyclical correlations, credit contagion, and portfolio losses
Giesecke, Kay, (2003)
- More ...
-
Cyclical correlations, credit contagion, and portfolio losses
Giesecke, Kay, (2003)
-
Credit contagion and aggregate losses
Giesecke, Kay, (2002)
-
Credit contagion and aggregate losses
Giesecke, Kay, (2002)
- More ...