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Correlation, CDOs of ABS and the subprime crisis

Lardy, Jean-Pierre; Patras, Frédéric; Vialard, François-Xavier (2009), Correlation, CDOs of ABS and the subprime crisis, in Gouriéroux, Christian; Jeanblanc, Monique, Financial risks : new developments in structured product & credit derivatives, Economica : Paris, p. 7-17

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Type
Communication / Conférence
Date
2009
Conference title
International Financial Research Forum
Conference date
2008-03
Conference city
Paris
Conference country
France
Book title
Financial risks : new developments in structured product & credit derivatives
Book author
Gouriéroux, Christian; Jeanblanc, Monique
Publisher
Economica
Published in
Paris
ISBN
978-2-7178-5719-1
Number of pages
197
Pages
7-17
Metadata
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Author(s)
Lardy, Jean-Pierre
Patras, Frédéric cc
Vialard, François-Xavier
Subjects / Keywords
systemic risks; high correlation regimes; subprime crisis
JEL
D53 - Financial Markets
C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling