Correlation in Credit Risk

by Office of the Comptroller of the Currenc and Office of the Comptroller of the Currency

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We examine the correlation in credit risk using credit default swap (CDS) data. We find that the observable risk factors at the firm, industry, and market levels and the macroeconomic variables cannot fully explain the correlation in CDS spread changes, leaving at least 30 percent of the correlation unaccounted for. This finding suggests that contagion is not only statistically but also economically significant in causing correlation in credit risk...

Format:Paperback

Language:English

ISBN:1505375681

ISBN13:9781505375688

Release Date:January 2015

Publisher:Createspace Independent Publishing Platform

Length:44 Pages

Weight:0.28 lbs.

Dimensions:0.1" x 8.5" x 11.0"

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Correlation in Credit Risk

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