A spread-return mean-reverting model for credit spread dynamics (Q5420697)
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scientific article; zbMATH DE number 6304157
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| English | A spread-return mean-reverting model for credit spread dynamics |
scientific article; zbMATH DE number 6304157 |
Statements
A SPREAD-RETURN MEAN-REVERTING MODEL FOR CREDIT SPREAD DYNAMICS (English)
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13 June 2014
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credit default swaps
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credit risk
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risk management
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return autocorrelation
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heavy tails
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model fitting
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0.77079838514328
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0.7682250142097473
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0.765854001045227
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0.7641758918762207
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0.7629362344741821
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