Liquidity tail risk and credit default swap spreads
Felix Irresberger, Gregor N.F. Weiß, Janet Gabrysch, Sandra Gabrysch
| Year of publication: |
16 September 2018
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| Authors: | Irresberger, Felix ; Weiß, Gregor ; Gabrysch, Janet ; Gabrysch, Sandra |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 269.2018, 3 (16.9.), p. 1137-1153
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| Subject: | Finance | Credit default swaps | Liquidity risk | Copula | Liquidity tail beta | Kreditderivat | Credit derivative | Liquidität | Liquidity | Kreditrisiko | Credit risk | Risikoprämie | Risk premium | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Betriebliche Liquidität | Corporate liquidity | Betafaktor | Beta risk | Derivat | Derivative | Swap | Marktliquidität | Market liquidity | Kreditversicherung | Credit insurance |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2018.02.030 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011866884