Extreme Risks During the U.S. Financial Crisis: An Empirical Study of the Credit Default Swap Market
This article focuses on the many extreme credit default swap spread movements observed during the recent U.S. credit crisis. The tails of the spread (and price) change distribution differ significantly from those of the normal distribution even for diversified credit derivatives portfolios. Particul...
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| Format: | Article |
| Language: | English |
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People & Global Business Association (P&GBA)
2013-03-01
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| Series: | Global Business and Finance Review |
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| Online Access: | http://www.gbfrjournal.org/pds/journal/thesis/20150612160203-IX7EV.pdf |