Risk attribution and interconnectedness in the EU via CDS data

DOI10.1007/s10287-020-00385-2OpenAlexW3124860196MaRDI QIDQ2033695

Yanyan Li

Publication date: 17 June 2021

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-020-00385-2

zbMATH Keywords

credit risknetwork theoryMarshall-Olkin distributioninterconnectednesscredit default swapsrisk attributionstress test

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Related Items (1)

Data-Driven Approach for Systemic Risk: A Macroprudential Perspective

Cites Work

• Exchangeable exogenous shock models
• \textit{Within} and \textit{between} systemic country risk. Theory and evidence from the sovereign crisis in Europe
• Robust and sparse banking network estimation
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Weighted least-squares inference for multivariate copulas based on dependence coefficients
• Contagion in financial networks
• Estimating the probability of multiple EU sovereign defaults using CDS and bond data
• A Multivariate Exponential Distribution
• Networks

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