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hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorAboura, Sofiane*
hal.structure.identifierPassau University
dc.contributor.authorWagner, Niklas*
dc.date.accessioned2009-07-10T08:10:08Z
dc.date.available2009-07-10T08:10:08Z
dc.date.issued2008
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/1039
dc.descriptionLe lien du téléchargement correspond à une version working paper seriesen
dc.language.isoenen
dc.subjectCredit risken
dc.subjectTime-varying risken
dc.subjectExtreme dependenceen
dc.subjectFactor modelen
dc.subject.ddc332en
dc.subject.classificationjelG.G1.G12en
dc.subject.classificationjelG.G1.G13en
dc.titleSystematic credit risk: CDX index correlation and extreme dependenceen
dc.typeChapitre d'ouvrageen_US
dc.contributor.editoruniversityotherPassau University;Allemagne
dc.description.abstractenDependence is an important issue in credit risk portfolio modeling and pricing. We discuss a straightforward common factor model of credit risk dependence, which is motivated by intensity models such as Duffie and Singleton (1998), among others. In the empirical analysis, we study dependence under the risk-neutral measure using credit default swap (CDS) spread data of liquid large-cap U.S. obligors. The proxy for the commonfactor is the DJ CDX.NA.IG index. We document that (i) the CDX factor is significant but has low explanatory power, (ii) factor sensitivities show distinct time-varying nature and that (iii) systematic credit risk shows asymmetric extreme factor dependence, where extreme dependence is present for upward CDX movements only. This finding from an EVT-copula approach is what is predicted by various intensity models of joint defaults.en
dc.identifier.citationpages377-389en
dc.relation.ispartofseriestitleFinancial Mathematics Series, Volume 6en_US
dc.relation.ispartoftitleCredit-risk models, derivatives and managementen
dc.relation.ispartofeditorWagner, Niklas
dc.relation.ispartofpublnameChapman & Hallen
dc.relation.ispartofpublcityNew Yorken
dc.relation.ispartofdate2008
dc.relation.ispartofpages600en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.ispartofisbn978-1584889946en
dc.description.halcandidateoui
dc.description.readershipRecherche
dc.description.audienceInternational
hal.identifierhal-01529353*
hal.version1*
hal.update.actionupdateMetadata*
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