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The empirical relation between credit quality, recovery, and correlation
Rösch, Daniel; Scheule, Harald - 2009
Persistent link: https://www.econbiz.de/10003975032
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The pricing of correlated default risk : evidence from the credit derivatives market
Tarashev, Nikola A. (contributor); Zhu, Haibin (contributor) - 2008
asset return correlations are too low to account for the spreads of index tranches and, thus, point to a large correlation … realized correlations, sheds light on market perceptions of and attitude towards correlation risk. …
Persistent link: https://www.econbiz.de/10003721579
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Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen
Hamerle, Alfred; Knapp, Michael; Wildenauer, Nicole - 2005
Persistent link: https://www.econbiz.de/10003228299
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The empirical relation between credit quality, recovery and correlation
Rösch, Daniel; Scheule, Harald - 2009
correlation. -- Asset Value ; Correlation ; Credit Portfolio ; Loss Given Default ; Merton Model ; Probability of Default …
Persistent link: https://www.econbiz.de/10003846062
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Commonality in liquidity in the US corporate bond market
Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 86-129). 2016
Persistent link: https://www.econbiz.de/10011733594
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Financial frictions in production networks
Bigio, Saki; La'O, Jennifer - 2016
Persistent link: https://www.econbiz.de/10011484171
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Can CDO equity be short on correlation?
Aǧca, Şenay; Islam, Saiyid - In: The journal of alternative investments 12 (2009/10) 4, pp. 85-96
Persistent link: https://www.econbiz.de/10003974201
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New evidence on optimal asset allocation
Jensen, Gerald R.; Mercer, Jeffrey M. - In: The financial review : the official publication of the … 38 (2003) 3, pp. 435-454
Persistent link: https://www.econbiz.de/10001787285
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Korrelationskonzepte zur Quantifizierung von Kreditausfallrisiken
Niethen, Susanne - 2001
Persistent link: https://www.econbiz.de/10001608302
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Impact of correlated default risk on credit portfolios
Das, Sanjiv R.; Fong, H. Gifford; Geng, Gary - In: The journal of fixed income 11 (2001) 3, pp. 9-19
Persistent link: https://www.econbiz.de/10001706056