Universitätsstraße 150
Bochum , NRW 44801
Germany
Ruhr University of Bochum
Credit default swaps, CDS tail beta, asymmetric extreme dependence, tail risk, copulas
Credit default swaps, liquidity commonality, liquidity risk
Sovereign risk, Structural credit risk models, bank-specific CDS pricing
Credit default swaps, sovereign risk, asymmetric extreme dependence, tail risk, copulas.