Estimation of Credit Spread Correlations

The recent interest in portfolio credit risk modelling has concentrated attention on the correlation structure of credit risk. This paper calculates long-holding period correlations for emerging market sovereign spreads and compares these with the correlations of equity market indices for the same countries

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Year of publication:	2011
Authors:	Perraudin, William Robert Maurice
Other Persons:	Taylor, Alex (contributor) ; Polenghi, Marco (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Kreditrisiko \| Credit risk \| Korrelation \| Correlation \| Zinsstruktur \| Yield curve \| Schätzung \| Estimation \| Kapitaleinkommen \| Capital income \| Unternehmensanleihe \| Corporate bond \| Risikoprämie \| Risk premium \| Schätztheorie \| Estimation theory \| Staatspapier \| Government securities

Extent:	1 Online-Ressource (21 p)
Series:	Risk Control Research Paper ; No. 2/3
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 1, 2002 erstellt
Other identifiers:	10.2139/ssrn.1961133 [DOI]
Classification:	E44 - Financial Markets and the Macroeconomy
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013118349