COVID-19 and credit risk: A long memory perspective

The COVID-19 pandemic shows significant impacts on credit risk, which is the key concern of corporate bond holders such as insurance companies. Credit risk, quantified by agency credit ratings and credit default swaps (CDS), usually exhibits long-range dependence (LRD) due to potential credit rating...

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Detalles Bibliográficos
Autores principales: Yin, Jie, Han, Bingyan, Wong, Hoi Ying
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8820093/
https://www.ncbi.nlm.nih.gov/pubmed/35153349
http://dx.doi.org/10.1016/j.insmatheco.2022.01.008

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8820093/
https://www.ncbi.nlm.nih.gov/pubmed/35153349
http://dx.doi.org/10.1016/j.insmatheco.2022.01.008

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