Liquidity tail risk and credit default swap spreads

DOI10.1016/J.EJOR.2018.02.030zbMath1390.91313DBLPjournals/eor/IrresbergerWGG18OpenAlexW2788516861WikidataQ59882374 ScholiaQ59882374MaRDI QIDQ1749525

Janet Gabrysch, Sandra Gabrysch, Gregor N. F. Weiß, Felix Irresberger

Publication date: 17 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://eprints.whiterose.ac.uk/127526/1/Irresberger_EJOR_Liquidity%20Tail%20Risk%20and%20Credit%20Default%20Swap%20Spreads.pdf

zbMATH Keywords

copulafinancecredit default swapsliquidity riskliquidity tail beta

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Credit risk (91G40)

Related Items (4)

Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics ⋮ A comparison of tail dependence estimators ⋮ Dynamic firm performance and estimator choice: a comparison of dynamic panel data estimators ⋮ Credit spread approximation and improvement using random forest regression

Uses Software

• FinTS

Cites Work

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