Viala, Jean-Renaud; Boulier, Jean-François; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2008
This paper examines how credit derivatives have changed the construction of an efficient portfolio. Credit derivatives … provide a way of gaining exposure to credit risk alone, to the exclusion of interest rate risk. They also permit a relatively … credit derivatives, which may also be leveraged. We look at past data on returns, risk and correlations of these investments …