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Credit Default Swaps Drawup Networks: Too Interconnected to Be Stable?
We analyse time series of CDS spreads for a set of major US and European institutions in a period overlapping the recent financial crisis. We extend the existing methodology of [Image: see text]-drawdowns to the one of joint [Image: see text]-drawups, in order to estimate the conditional probabiliti...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2013
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3700991/ https://www.ncbi.nlm.nih.gov/pubmed/23843931 http://dx.doi.org/10.1371/journal.pone.0061815 |