WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURE

WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURE

ABSTRACT This study investigates the copula model that best fit to model the dependence structure of Credit Derivative Swaps (CDS) spreads. For the analysis, we consider daily data from the period of January 1, 2009 to December 31, 2014. Regarding the models, we considered Vine copulas and Hierarchi...

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Bibliographic Details
Main Authors: Fernanda Maria Müller, Marcelo Brutti Righi, Anderson Luis Walker Amorin
Format: Article
Language:English
Published: Universidade Federal do Rio Grande do Sul
Series:REAd: Revista Eletrônica de Administração
Subjects:
Credit Derivative Swaps
Model risk
Vine Copulas
Online Access:http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1413-23112018000200218&lng=en&tlng=en

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http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1413-23112018000200218&lng=en&tlng=en

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