Suche
Anzeige der Dokumente 1-2 von 2
Mutual Excitation in Eurozone Sovereign CDS
(2014-05-01)
We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, to capture the salient features ...
CMA
Credit Market Analysis (CMA) is a data and information company specializing in OTC derivatives markets. In July 2012, the company became part of the S&P Capital IQ division of McGraw-Hill