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Dynamic Dependence in Corporate Credit

Author:
Peter Christoffersen   Kris Jacobs   Xisong Jin  


Issue Date:
2014


Abstract(summary):

? We have estimated a dynamic asymmetric copula model on 223 firms which each have different start and end dates. ? Credit spread levels, volatility and dependence are found to have separate dynamics. Credit and equity prices also have different dynamics. ? Credit dependence appears to be permanently higher after 2007. Equity dependence not so. ? Diversification benefits have declined in both EW credit and EW equity portfolios. This decline in diversification benefit can be reduced by optimizing benefits on industry portfolios. ? We find some scope for economic drivers of credit and equity dependence.


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