TY  - RPRT
AU  - Chamizo Cana, Álvaro
AU  - Novales Cinca, Alfonso
PY  - 2019
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/17525
AB  - We provide a methodology to estimate a global credit risk factor from CDS spreads that can be very useful for risk management. The global risk factor (GRF) reproduces quite well the different epis- odes that have affected the credit market over the...
LA  - eng
A3  - Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Credit Risk
KW  - Systemic Risk
KW  - Sectorial Risk
KW  - Idiosyncratic Risk
KW  - Asset Allocation.
TI  - Splitting credit risk into systemic, sectorial and idiosyncratic components
TY  - technical report
VL  - 2019
ER  -