A value-at-risk analysis of credit default swaps
نویسندگان
چکیده
منابع مشابه
Credit Default Swaps networks and systemic risk
Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS spread time series did not anticipate but only followed the increasing risk of default before the financial crisis. In principle, the network of correlations among CDS spread time series could at least display some form of structural change to be used as an ...
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ژورنال
عنوان ژورنال: The Journal of Risk
سال: 2011
ISSN: 1465-1211
DOI: 10.21314/jor.2011.232