Dynamic Dependence and Diversification in Corporate Credit*

DOI10.1093/rof/rfx034zbMath1425.91421OpenAlexW3125862711MaRDI QIDQ5237859

Hugues Langlois, Xisong Jin, Peter Christoffersen, Kris Jacobs

Publication date: 25 October 2019

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rfx034

zbMATH Keywords

copulacredit riskdefault riskCDSdynamic dependence

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40)

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