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Four essays on linear and extreme dependences in credit derivatives and equity markets
2014
The dissertation investigates the linear and extreme dependence structures in credit derivatives and equity markets and studies their possible implications for asset pricing and portfolio management. Subsequent to the introduction in Chapter one, the second chapter deals with extreme dependence between the CDS spreads of major European banks and shows that the propensity of a bank to experience extreme co-movements in its CDS premia together with the market is priced in the bank's default swap
doi:10.17877/de290r-6526
fatcat:42ur6xxanjgf7pc52cll5elgja