Extracting the Sovereignss CDS Market Hierarchy: A CorrelationnFiltering Approach

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Preprint 01 Jan 2013 Netherlands English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Carlos Eduardo León Rincón; Karen Julieth Leiton; Jhonatan Perez Villalobos;

doi: 10.2139/ssrn.2290274 , 10.1016/j.physa.2014.08.020

Extracting the Sovereignss CDS Market Hierarchy: A CorrelationnFiltering Approach

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Abstract

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Country

Netherlands

Related Organizations

The RiverBank
United States
Bank of the Republic
Colombia
Tilburg University
Netherlands

Keywords

SDG 17 - Partnerships for the Goals, sovereign risk, hierarchy, Credit risk, credit default swap, correlation-filtering, clustering

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