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 ε-drawdowns to the one of joint ε-drawups, in order to estimate the conditional probabilities of spike-like co-movements am...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2013-01-01
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| Series: | PLoS ONE |
| Online Access: | http://europepmc.org/articles/PMC3700991?pdf=render |