Cyclical correlations, credit contagion, and portfolio losses-Reference-Cited by-同舟云学术

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Cyclical correlations, credit contagion, and portfolio losses

Published:2004-12 Issue:12 Volume:28 Page:3009-3036
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Giesecke Kay,Weber Stefan

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference29 articles.

1. Financial contagion;Allen;Journal of Political Economy,2000

2. Contagion and bank failures during the great depression: The June 1932 Chicago banking panic;Calomiris;American Economic Review,1997

3. A comparative analysis of current credit risk models;Crouhy;Journal of Banking and Finance,2000

4. CSFP, 1997. CreditRisk+: A credit risk management framework. Technical Document, London

5. Modeling default correlation in bond portfolios;Davis,2001

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