Open AccessSystematic Credit Risk: CDX Index Correlation and Extreme Dependence
Author(s) -
Sofiane Aboura,
Niklas Wagner
Publication year - 2007
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1012626
Subject(s) - econometrics , copula (linguistics) , tail dependence , credit risk , economics , explanatory power , proxy (statistics) , credit default swap , default , portfolio , factor analysis , statistics , financial economics , actuarial science , mathematics , multivariate statistics , physics , finance , quantum mechanics
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom