Disentangling the bond-CDS nexus : a stress test model of the CDS market
Guillaume Vuillemey, Tuomas A. Peltonen
| Year of publication: |
September 2015
|
|---|---|
| Authors: | Vuillemey, Guillaume ; Peltonen, Tuomo |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 49.2015, p. 32-45
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| Subject: | Credit event | Credit default swap | Contagion | Collateral | Market risk | Liquidity risk | Stress test | Finanzdienstleistung | Financial services | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Finanzkrise | Financial crisis | Welt | World | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2015.03.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011439475