Hedge effectiveness of the credit default swap indices : a spectral decomposition and network topology analysis
Year of publication: |
2022
|
---|---|
Authors: | Sinka, Peter ; Zeitsch, Peter J. |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 60.2022, 4, p. 1375-1412
|
Subject: | Principal component analysis | CDX | Credit default swap index | Hedge effectiveness | Hierarchically nested factor model | iTraxx | Network topology | Spectral decomposition | Kreditderivat | Credit derivative | Theorie | Theory | Hedging | Swap | Kreditrisiko | Credit risk | Dekompositionsverfahren | Decomposition method |
-
Calice, Giovanni, (2012)
-
Calice, Giovanni, (2014)
-
The impact of CDX spreads on individual credit default swap contracts
Davaadorj, Zagdbazar, (2024)
- More ...
-
A Spectral Decomposition of the Credit Default Swap Indices
Sinka, Peter, (2020)
-
Capital structure arbitrage under a risk-neutral calibration
Zeitsch, Peter J., (2017)
-
Zeitsch, Peter J., (2017)
- More ...