Portfolio Correlations in the Bank-Firm Credit Market of Japan
Year of publication: |
2021
|
---|---|
Authors: | Luu, Duc Thi |
Published in: |
Computational Economics. - New York, NY : Springer US, ISSN 1572-9974. - Vol. 60.2021, 2, p. 529-569
|
Publisher: |
New York, NY : Springer US |
Subject: | Bank lending | Portfolio correlations | Systemic risk | Random matrix theory | Principal component analysis | Correlation-based filtered methods |
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