Inferring default correlation from equity return correlation
Sheen Liu; Howard Qi; Jian Shi; Yan Alice Xie
| Year of publication: |
2015
|
|---|---|
| Authors: | Liu, Sheen ; Qi, Howard ; Shi, Jian ; Xie, Yan Alice |
| Published in: |
European financial management : the journal of the European Financial Management Association. - Oxford : Wiley-Blackwell, ISSN 1354-7798, ZDB-ID 1235378-4. - Vol. 21.2015, 2, p. 333-359
|
| Subject: | Default correlation | equity (return) correlation | defaultable bonds | structural model | Theorie | Theory | Korrelation | Correlation | Kapitaleinkommen | Capital income | Kreditrisiko | Credit risk | Insolvenz | Insolvency | Anleihe | Bond | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010516668