Essays on Correlation Modelling


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Essays on Correlation Modelling

Vis færre oplysninger Stenbo Nielsen, Mads 2011-11-02 2011-12-06T10:55:33Z 2011-12-06T10:55:33Z 2011-11-06
dc.identifier.isbn 9788792842237
dc.identifier.isbn 9788792842220
dc.description.abstract 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. en_US
dc.format.extent 186 en_US
dc.language eng en_US
dc.publisher Copenhagen Business School en_US
dc.relation.ispartofseries PhD Series;31.2011
dc.title Essays on Correlation Modelling en_US
dc.type phd en_US
dc.accessionstatus modt11dec06 lbjl en_US
dc.contributor.corporation Copenhagen Business School. CBS en_US
dc.contributor.department Institut for Finansiering en_US
dc.contributor.departmentshort FI en_US
dc.contributor.departmentuk Department of Finance en_US
dc.contributor.departmentukshort FI en_US
dc.idnumber 9788792842237 en_US Frederiksberg en_US
dc.publisher.year 2011 en_US

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