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the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities …
Persistent link: https://www.econbiz.de/10005207938
As observed in the financial crisis, CDS spreads tend to increase simutaneously as a reaction to common shocks. Focusing on the spillover effects triggered by extreme events, we propose a credit risk analysis tool by applying credit default swap spread returns to the concept of 4CoVaR suggested...
Persistent link: https://www.econbiz.de/10010772307