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

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:
Christoffersen, Peter  Jacobs, Kris  Jin, Xisong  Langlois, Hugues  


Journal:
REVIEW OF FINANCE


Issue Date:
2018


Abstract(summary):

We characterize dependence in corporate credit and equity returns for 215 firms using a new class of large-scale dynamic copula models. Copula dependence and especially tail dependence are highly variable and persistent, increase significantly in the financial crisis, and have remained high since. The most drastic increases in credit dependence occur in July/August of 2007 and in August of 2011 and the decrease in diversification potential caused by the increases in dependence and tail dependence is large. Credit default swap correlation dynamics are important determinants of credit spreads.


Page:
521---560


Similar Literature

Submit Feedback

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