Do correlated defaults matter for CDS premia?
Year of publication: |
October 2015
|
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Authors: | Koziol, Christian ; Koziol, Philipp ; Schön, Thomas |
Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 18.2015, 3, p. 191-224
|
Subject: | Correlated defaults | Systemic risk | Idiosyncratic risk | Collateralized debt obligations | Credit default swaps | Credit derivatives | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Derivat | Derivative | Finanzdienstleistung | Financial services | Insolvenz | Insolvency | Risikoprämie | Risk premium | Kreditversicherung | Credit insurance | Korrelation | Correlation | Swap | Theorie | Theory | Asset-Backed Securities | Asset-backed securities | Kreditsicherung | Collateral | Systemrisiko |
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