How Does Systematic Risk Impact US Credit Spreads? A Copula Study
Year of publication: |
2003-08-25
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Authors: | Gatfaoui, Hayette |
Institutions: | EconWPA |
Keywords: | systematic risk credit risk copulas Archimedean copulas stress testing |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - Acrobat PDF; prepared on PC; to print on HP/PostScript; pages: 27 ; figures: included. This paper is under submission for the special issue of the European Investment Review. 27 pages |
Classification: | C32 - Time-Series Models ; D81 - Criteria for Decision-Making under Risk and Uncertainty |
Source: |
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