1 Churchill Place
London, E14 5HP
Credit spread; Copula; Dependence; Regime switching; Tail dependence; Value-at-Risk
Basel III, Credit risk, Default probability, Out-of-sample prediction, Procyclicality, Rating migration, Value-at-Risk
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: j-5957.pdf
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Basel III, credit risk, default probability, out‐of‐sample prediction, procyclicality, rating migration, value‐at‐risk
This page was processed by aws-apollo4 in 0.188 seconds