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Correlations and business cycles of credit risk: Evidence from bankruptcies in Germany

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Authors and Affiliations

  1. Department of Statistics, Faculty of Business and Economics, University of Regensburg, 93040, Regensburg, Germany

    Daniel Rösch

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  1. Daniel Rösch
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Earlier versions of the paper were presented on the 2nd International Finance Conference in Yasmine Hammamet/Tunisia,on the 6th Annual Meeting of the Swiss Society for Financial Market Research in Zurich, on the Workshop I/2003 of the Research Association for Capital Markets and Risk Management in Zurich,on the 5th Dresdner Risk Tutorial in Dresden, on the 65th anual meeting of the Association of University Professors of Management, and on the 10th Global Finance Conference in Frankfurt/Main.

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Rösch, D. Correlations and business cycles of credit risk: Evidence from bankruptcies in Germany. Fin Mkts Portfolio Mgmt 17, 309–331 (2003). https://doi.org/10.1007/s11408-003-0303-2

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