Credit derivatives and the default risk of large complex financial institutions
This paper proposes and implements a multivariate model of the coevolution of the first and second moments of two broad credit default swap indices and the equity prices of sixteen large complex financial institutions. We use this empirical model to build a bank default risk model, in the vein of th...
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| Main Authors: | , , |
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| Format: | Default Article |
| Published: |
2012
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| Subjects: | |
| Online Access: | https://hdl.handle.net/2134/24213 |
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