Alternative Links zum Volltext:DOI
Zusammenfassung
This paper introduces a simple, non-parametric way of inferring risk-neutral credit stress event intensities for idiosyncratic, sectoral, and global shocks contained in market credit spreads. We provide an econometric analysis of the implied latent stress event dynamics. A vector autoregressive regression model with exogenous variables finds that these intensities can be related to an observable ...
Nur für Besitzer und Autoren: Kontrollseite des Eintrags
Altmetric