Portfolio diversification in the sovereign credit swap markets
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DOI: 10.1007/s10479-017-2565-5
Abstract: We develop models for portfolio diversification in the sovereign credit default swaps (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient idiosyncratic risk to… read more here.
Keywords: portfolio; diversification; sovereign credit; portfolio diversification ... See more keywords