Lee, Sangwook; Kim, Min Jae; Lee, Sun Young; Kim, Soo Yong - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 9, pp. 2060-2071
Credit default swap (CDS) has become one of the most actively traded credit derivatives, and its importance in finance markets has increased after the subprime crisis. In this study, we analyzed the correlation structure of credit risks embedded in CDS and the influence of the subprime crisis on...