Portfolio diversification in the sovereign credit swap markets
type: Item
instance of: scholarly article
title: Portfolio diversification in the sovereign credit swap markets
zbMATH Open document ID: 1417.91444
author: Andrea Consiglio
author: Somayyeh Lotfi
author: Stavros A. Zenios
published in: Annals of Operations Research
publication date: 2018-11-12T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6976233
zbMATH Keywords: credit derivatives
zbMATH Keywords: portfolio diversification
zbMATH Keywords: Eurozone crisis
zbMATH Keywords: CDS spreads
zbMATH Keywords: conditional value-at-risk
zbMATH Keywords: regime switching
MaRDI profile type: Publication
full work available at URL: s10479-017-2565-5
OpenAlex ID: W2509814617
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DOI: 10.1007/S10479-017-2565-5
description: scientific article; zbMATH DE number 6976233