| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10322342 | Expert Systems with Applications | 2012 | 8 Pages |
Abstract
⺠We adopt the dynamic Bayesian linear modeling framework to model the implied default correlations. ⺠We investigate the effects of recent subprime financial crisis on Japan Credit Default Swap market. ⺠The result indicates that the magnitude of implied default correlations surged substantially after the outbreak of the subprime crisis.
Related Topics
Physical Sciences and Engineering
Computer Science
Artificial Intelligence
Authors
Jiashen You, Tomohiro Ando,