Dynamic Dependence and Diversification in Corporate Credit*
نویسندگان
چکیده
منابع مشابه
Dynamic Dependence and Diversification in Corporate Credit∗
We characterize dependence and tail dependence in corporate credit using a new class of dynamic copula models which can capture dynamic dependence and asymmetry in large samples of firms. We also document important differences between the dependence dynamics for credit spreads and equity returns. Modeling a decade of weekly CDS spreads for 215 firms, we find that copula correlations are highly ...
متن کاملDynamic Dependence in Corporate Credit∗
Characterizing the dependence in credit spreads and default intensities across companies is a central problem in credit risk. Existing practice typically relies on factor models or simple static Gaussian copula models. We instead use genuinely dynamic copula models which can capture univariate and multivariate non-normalities and asymmetries for large cross-sections of firms. Using weekly data ...
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Many pricing and risk management models need credit spread curves as an input. Given the small number of bonds outstanding per issuer the estimation of credit spread curves is not trivial in the corporate bond market. To ensure a sufficient number of bonds for the estimation procedure in many cases bonds in different currencies have to be used which implies that the estimation procedure has to ...
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The main purpose of this research is to investigate the impacts of corporate governance on credit risk in the Iranian banking industry. The sample consists of 20 banks listed on the Tehran Stock Exchange during 2011-2016 and the statistical method is panel data. In this research, credit risk and corporate governance are the dependent and independent variables, respectively. The meta-synthesis m...
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Firms undertake a variety of actions to reduce risk through diversification, including entering diverse lines of business, taking on project partners, and maintaining portfolios of risky projects such as R&D or natural resource exploration. By a well-known argument, securities holders do not directly benefit from risk-reducing corporate diversification when they can replicate this diversificati...
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ژورنال
عنوان ژورنال: Review of Finance
سال: 2017
ISSN: 1572-3097,1573-692X
DOI: 10.1093/rof/rfx034