Portfolio diversification in the sovereign credit swap markets

DOI10.1007/S10479-017-2565-5zbMath1417.91444OpenAlexW2509814617MaRDI QIDQ1621893

Andrea Consiglio, Somayyeh Lotfi, Stavros A. Zenios

Publication date: 12 November 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-017-2565-5

zbMATH Keywords

regime switchingcredit derivativesconditional value-at-riskportfolio diversificationCDS spreadsEurozone crisis

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

Related Items (3)

Adjusted robust mean-value-at-risk model: less conservative robust portfolios ⋮ Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe ⋮ PRICING SOVEREIGN CONTINGENT CONVERTIBLE DEBT

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• Estimating and Testing Structural Changes in Multivariate Regressions

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