Idiosyncratic and Systemic Risk in the European Corporate Sector; A CDO Perspective
Year of publication: |
2006-04-01
|
---|---|
Authors: | Lu, Yinqiu ; Chan-Lau, Jorge A. |
Institutions: | International Monetary Fund (IMF) |
Subject: | Financial risk | Credit risk | Risk management | Financial sector | Credit tranches | Corporate sector | correlation | credit derivatives | probability | hedge | financial assets | correlations | derivatives market | bonds | probabilities | bond | statistics | cash flows | sovereign bonds | financial stability | hedge funds | corporate bonds | international capital markets | hedge fund | time series | hedges | derivatives markets | empirical method | standard deviation | linear algebra | covariance | bond returns | high yield bonds | international capital | multivariate analysis | algebra | empirical framework | financial systems | number of variables |
-
Drees, Burkhard, (2001)
-
Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds
(2010)
-
Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets
Chan-Lau, Jorge A., (2004)
- More ...
-
Idiosyncratic and Systemic Risk in the European Corporate Sector : A CDO Perspective
Lu, Yinqiu, (2006)
-
Chan-Lau, Jorge A., (2008)
-
Idiosyncratic and systemic risk in the European corporate sector : a CDO perspective
Chan-Lau, Jorge A., (2006)
- More ...