Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Year of publication: |
2021
|
---|---|
Authors: | Anagnostou, I. ; Squartini, T. ; Kandhai, D. ; Garlaschelli, D. |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 9, p. 1501-1518
|
Subject: | Applications to default risk | Community detection | Correlation matrices | Correlation modelling | Credit default swaps | Financial time series | Multi-factor models | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Korrelation | Correlation | Theorie | Theory | Schätzung | Estimation | Portfolio-Management | Portfolio selection | Derivat | Derivative | Zeitreihenanalyse | Time series analysis | Insolvenz | Insolvency | Swap |
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