A Data Science Central Community
CORRELATION AND CONTAGION IN EMPIRICAL FACTOR MODELS OF BANK CREDIT RISK Michael Beenstock Department of Economics Hebrew University of JerusalemMahmood Khatib School of Management Tel Aviv University January 3, 2012 Abstract Credit risk may be correlated because the observed and unobserved drivers of credit risk happen to be correlated, or because they are related through contagion. We identify…
Most Popular Content on DSC
To not miss this type of content in the future, subscribe to our newsletter.
Other popular resources
Most popular articles