Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/208795 
Year of Publication: 
2011
Series/Report no.: 
PhD Series No. 31.2011
Publisher: 
Copenhagen Business School (CBS), Frederiksberg
Abstract: 
The thesis consists of three essays that cover different aspects of correlation modelling in corporate default risk. Each essay is self-contained and can be read independently. Essay I: Correlation in corporate defaults: Contagion or conditional independence? Essay II: Systematic and idiosyncratic default risk in synthetic credit markets. Essay III: Credit spreads across the business cycle.
Persistent Identifier of the first edition: 
ISBN: 
9788792842237
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Doctoral Thesis

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