Estimation of Credit Spread Correlations

Risk Control Research Paper No. 2/3

21 Pages Posted: 29 Nov 2011

See all articles by William Robert Maurice Perraudin

William Robert Maurice Perraudin

Risk Control Limited

Alex Taylor

affiliation not provided to SSRN

Marco Polenghi

affiliation not provided to SSRN

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

Perraudin, William Robert Maurice and Taylor, Alex and Polenghi, Marco, Estimation of Credit Spread Correlations (January 1, 2002). Risk Control Research Paper No. 2/3, Available at SSRN: https://ssrn.com/abstract=1961133 or http://dx.doi.org/10.2139/ssrn.1961133

William Robert Maurice Perraudin (Contact Author)

Risk Control Limited ( email )

13-14 Dean Street
London, SE21 8LU
United Kingdom

Alex Taylor

affiliation not provided to SSRN ( email )

Marco Polenghi

affiliation not provided to SSRN ( email )

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