Estimation of Credit Spread Correlations
Risk Control Research Paper No. 2/3
21 Pages Posted: 29 Nov 2011
Date Written: January 1, 2002
Abstract
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.
Keywords: emerging market, sovereign spreads, equity market indices
JEL Classification: E44
Suggested Citation: Suggested Citation
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