Dynamic credit default swap curves in a network topology

DOI10.1080/14697688.2019.1585560MaRDI QIDQ5235459zbMATH OpenOpenAlexFDO

Authors Xiu Xu, Cathy Yi-Hsuan Chen, Wolfgang K. Härdle

Publication date 11 October 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2019.1585560

zbMATH Keywords

default risknetworkrisk managementvariance decomposition

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Algorithm for Simultaneous Orthogonal Transformation of Several Positive Definite Symmetric Matrices to Nearly Diagonal Form
• Applied multivariate statistical analysis
• Bootstrapping topological properties and systemic risk of complex networks using the fitness model
• Common factors in credit defaults swap markets
• Forecasting the term structure of government bond yields
• scientific article; zbMATH DE number 7088130 (Why is no real title available?)
• Impulse response analysis in nonlinear multivariate models
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• The dynamics of implied volatilities: a common principal components approach
• The macroeconomy and the yield curve: a dynamic latent factor approach

Cited in

(6)

• Extracting the sovereigns' CDS market hierarchy: a correlation-filtering approach
• Adjustable network reconstruction with applications to CDS exposures
• The changing shape of sovereign default intensities
• scientific article; zbMATH DE number 6866322 (Why is no real title available?)
• Digital economy era: the role of the telecommunications sector in frequency-dependent default risk connectedness
• Semiparametric partial common principal component analysis for covariance matrices

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