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Title:
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Essays on Correlation Modelling
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Author:
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Stenbo Nielsen, Mads |
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Abstract:
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The thesis consists of three essays that cover different aspects of
correlation modelling in corporate default risk. Each essay is self-contained and can be
read independently. Essay I: Correlation in corporate defaults: Contagion or conditional
independence? Essay II: Systematic and idiosyncratic default risk in synthetic credit
markets. Essay III: Credit spreads across the business cycle. |
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URI:
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http://hdl.handle.net/10398/8370
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Date:
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2011-11-06 |
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