Extracting the sovereigns' CDS market hierarchy: a correlation-filtering approach

DOI10.1016/j.physa.2014.08.020zbMath1402.91852OpenAlexW1599650063MaRDI QIDQ1783187

Karen Leiton, Jonathan Perez, Carlos Antonio León

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.32468/be.766

zbMATH Keywords

clusteringhierarchycredit default swapsovereign riskcorrelation-filtering

Mathematics Subject Classification ID

Credit risk (91G40)

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Equity markets’ clustering and the global financial crisis

Cites Work

• On the shortest spanning subtree of a graph and the traveling salesman problem
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