Credit Risk Calibration based on CDS Spreads
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KeywordsCDS; VaR; CoVaR; stressed VaR; Central Counterparty; Quantile Regression;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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