The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing

Published:2022-02 Issue: Volume:58 Page:100969
ISSN:1572-3089
Container-title:Journal of Financial Stability
language:en
Short-container-title:Journal of Financial Stability

Author:

Arismendi-Zambrano Juan^ORCID,Belitsky Vladimir,Sobreiro Vinicius Amorim,Kimura Herbert

Funder

State of Sao Paulo Research Foundation

Coordination of Higher Education Personnel Improvement

National Council for Scientific and Technological Development

Publisher

Elsevier BV

Subject

General Economics, Econometrics and Finance,Finance

Reference96 articles.

1. Default recovery rates and LGD in credit risk modelling and practice: An updated review of the literature and empirical evidence;Altman,2001

2. Are bank capital requirements optimally set? Evidence from researchers’ views;Ambrocio;J. Financial Stab.,2020

3. International asset allocation with regime shifts;Ang;Rev. Financ. Stud.,2002

4. Asymmetric correlations of equity portfolios;Ang;J. Financ. Econ.,2002

5. Counterparty credit risk and the credit default swap market;Arora;J. Financ. Econ.,2012

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A Tale of Two Tails: A New Unique Information Share Measure Based on Copulas;Journal of Financial Econometrics;2023-08-28

2. A Bayesian approach for more reliable tail risk forecasts;Journal of Financial Stability;2023-02

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP