Dynamic credit default swap curves in a network topology

DOI10.1080/14697688.2019.1585560zbMath1422.91748OpenAlexW2587330588MaRDI QIDQ5235459

Xiu Xu, Cathy Yi-Hsuan Chen, Wolfgang Karl 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

networkrisk managementdefault riskvariance decomposition

Mathematics Subject Classification ID

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

Related Items (1)

Semiparametric partial common principal component analysis for covariance matrices

Cites Work

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• On the network topology of variance decompositions: measuring the connectedness of financial firms
• 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

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