How Does Systematic Risk Impact US Credit Spreads? A Copula Study
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More about this item
Keywordssystematic risk credit risk copulas Archimedean copulas stress testing;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FMK-2003-08-31 (Financial Markets)
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