Sandra Gabrysch

Technical University of Dortmund

Emil-Figge-Straße 50

Dortmund, 44227

Germany

  • Technical University of Dortmund

SCHOLARLY PAPERS

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Scholarly Papers (1)

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1.

Liquidity Tail Risk and Credit Default Swap Spreads

European Journal of Operational Research, Forthcoming
Number of pages: 46 Posted: 25 Jan 2016 Last Revised: 16 Feb 2018
Felix Irresberger, Gregor N. F. Weiss, Janet Gabrysch and Sandra Gabrysch
Durham University, University of Leipzig - Faculty of Economics and Management Science, Technical University of Dortmund and Technical University of Dortmund
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Citation 3

Abstract:

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Credit default swaps, liquidity risk, copula, liquidity tail beta