مرکز منطقه ای اطلاع رساني علوم و فناوري - Cyclical correlations, credit contagion, and portfolio losses

Title of article :

Cyclical correlations, credit contagion, and portfolio losses

Author/Authors :

Kay Giesecke، نويسنده , , Stefan Weber، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2004

Pages :

From page :

3009

To page :

3036

Keywords :

Portfolio losses , Bernoulli mixture model , Credit contagion , Cyclical correlation

Journal title :

Journal of Banking and Finance

Serial Year :

2004

Journal title :

Journal of Banking and Finance

Record number :

193671

Link To Document :