Cyclical correlations, credit contagion, and portfolio losses

Journal of Banking and Finance

Volumn 28, Issue 12, 2004, Pages 3009-3036

  Giesecke, Kay ^a   Weber, Stefan ^b  

^a Cornell University   (United States)

^b HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Bernoulli mixture model; Credit contagion; Cyclical correlation; Portfolio losses

Indexed keywords

EID: 6444237978     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2003.11.002     Document Type: Article

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