Idiosyncratic and Systemic Risk in the European Corporate Sector; A CDO Perspective
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References listed on IDEAS
- Jeffery D Amato & Jacob Gyntelberg, 2005. "CDS index tranches and the pricing of credit risk correlations," BIS Quarterly Review, Bank for International Settlements, March.
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- Gustav A. Horn & Heike Joebges & Lothar Kamp & Alexandra Krieger & Sebastian Sick & Silke Tober, 2009. "Gesamtwirtschaftliche Stabilität durch bessere Regulierung - Vorschläge für eine Neuordnung der Finanzmärkte," IMK Report 36-2009, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Jorge A Chan-Lau, 2006. "Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices," IMF Working Papers 06/148, International Monetary Fund.
More about this item
KeywordsCredit tranches; Credit risk; Corporate sector; Debt; Asset prices; Financial risk; Financial sector; Europe; International capital markets; Risk management; Systemic risk; idiosyncratic risk; credit derivatives; credit derivatives indices; collateralized debt obligations; tranches; correlation; probability; hedge; financial assets;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-08-05 (All new papers)
- NEP-EEC-2006-08-05 (European Economics)
- NEP-FMK-2006-08-05 (Financial Markets)
- NEP-RMG-2006-08-05 (Risk Management)
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