Debt correlations in the wake of the financial crisis : what are appropriate default correlations for structured products?
Year of publication: |
September 2017
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Authors: | Nickerson, Jordan ; Griffin, John M. |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 125.2017, 3, p. 454-474
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Subject: | Credit ratings | Financial crises | Structured finance | Default correlations | Finanzkrise | Financial crisis | Kreditrisiko | Credit risk | Korrelation | Correlation | Strukturiertes Produkt | Structured product | Kreditwürdigkeit | Credit rating | Insolvenz | Insolvency | Basler Akkord | Basel Accord |
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