Resource title

Essays on Correlation Modelling

Resource image

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Resource description

The thesis consists of three essays that cover different aspects ofcorrelation modelling in corporate default risk. Each essay is self-contained and can beread independently. Essay I: Correlation in corporate defaults: Contagion or conditionalindependence? Essay II: Systematic and idiosyncratic default risk in synthetic creditmarkets. Essay III: Credit spreads across the business cycle.

Resource author

Mads Stenbo Nielsen

Resource publisher

Resource publish date

Resource language

eng

Resource content type

application/pdf

Resource resource URL

http://hdl.handle.net/10398/8370

Resource license

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