CDS, Bayesian model averaging, crash aversion, tail risk, tail dependence
CDS, bayesian model averaging, crash aversion, tail risk, tail dependence, time-varying copulas
Option Implied Probability of Default, Risk Neutral Density, Cross Entropy
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probability of default, risk neutral density, options, cross entropy, financial risk, credit risk
stress test, Bayesian model averaging, quantile mapping, survey data, German residential mortgage market, model uncertainty
Entropy Principle, Risk Neutral Density, Probability of Default, Financial Stability Indicator, Credit Default Swaps
Financial Distress, Conditional Probability of Default, Copulas, Option Prices, Entropy Principle
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