Common factors in credit defaults swaps markets
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Xiu Xu & Wolfgang K. Härdle & Cathy Yi-Hsuan Chen, 2016. "Dynamic credit default swaps curves in a network topology," SFB 649 Discussion Papers SFB649DP2016-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Ostap Okhrin & Stefan Trück, 2015. "Editorial to the special issue on Applicable semiparametrics of computational statistics," Computational Statistics, Springer, vol. 30(3), pages 641-646, September.
More about this item
Keywordscredit default swaps; common factors; credit risk;
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-11-11 (All new papers)
- NEP-FMK-2012-11-11 (Financial Markets)
- NEP-RMG-2012-11-11 (Risk Management)
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