Creat membership Creat membership
Sign in

Forgot password?

Confirm
  • Forgot password?
    Sign Up
  • Confirm
    Sign In
Creat membership Creat membership
Sign in

Forgot password?

Confirm
  • Forgot password?
    Sign Up
  • Confirm
    Sign In
Collection
For ¥0.57 per day, unlimited downloads CREATE MEMBERSHIP Download

toTop

If you have any feedback, Please follow the official account to submit feedback.

Turn on your phone and scan

home > search >

Dynamic Dependence and Diversification in Corporate Credit

Author:
Peter Christoffersen   Kris Jacobs   Xisong Jin  


Issue Date:
2014


Abstract(summary):

We characterize dependence and tail dependence in corporate credit using a new class of dynamic copula models which can capture dynamic dependence and asymmetry in large samples of firms. We also document important differences between the depen- dence dynamics for credit spreads and equity returns. Modeling a decade of weekly CDS spreads for 215 firms, we find that copula correlations are highly time-varying and persistent, and that they increase significantly in the financial crisis and have remained high since. Perhaps most importantly, tail dependence of CDS spreads increases even more than copula correlations during the crisis and remains high as well. The most important shocks to credit dependence occur in August of 2007 and in August of 2011, but interestingly these dates are not associated with significant changes to median credit spreads. The decrease in diversification potential caused by the increase in dependence and tail dependence is large. Finally, we find that the CDS volatility, correlation and tail dependence measures that we have constructed using the dynamic copula model are important determinants of credit spreads over time.


Page:
Unknown


VIEW PDF

The preview is over

If you wish to continue, please create your membership or download this.

Create Membership

Similar Literature

Submit Feedback

This function is a member function, members do not limit the number of downloads