Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - CESifo - 2005
risk factors are correlated with each other and the degree of dependence individual firms have to the different types of … risk factors. Using a global vector autoregressive macroeconometric model accounting for about 80% of world output, we … propose a model for exploring credit risk diversification across industry sectors and across different countries or regions …