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Bernoulli mixture model
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cyclical correlation
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portfolio losses
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voter model
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Cyclical correlations, credit contagion, and portfolio losses
Giesecke, Kay
;
Weber, Stefan
-
Sonderforschungsbereich 373, Quantifikation und …
-
2003
cyclical default correlation and direct default contagion processes.
Cyclical
correlation
is due to the dependence of firms on …
Persistent link: https://www.econbiz.de/10010956356
Saved in:
2
Cyclical correlations, credit contagion, and portfolio losses
Giesecke, Kay
;
Weber, Stefan
-
2003
cyclical default correlation and direct default contagion processes.
Cyclical
correlation
is due to the dependence of firms on …
Persistent link: https://www.econbiz.de/10010296447
Saved in:
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