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- W1556887678 abstract "Equity and credit-default-swap (CDS) markets are in disagreement as to the extent to which asset returns co-move across firms. This suggests market segmentation and casts ambiguity about the asset-return correlations underpinning observed prices of portfolio credit risk. The ambiguity could be eliminated by - currently unavailable - data that reveal the market valuation of low-probability/large-impact events. At present, judicious assumptions about this valuation can be used to reconcile observed prices with asset-return correlations implied by either equity or CDS markets. These conclusions are based on an analysis of tranche spreads of a popular CDS index, which incorporate a rather small premium for correlation risk." @default.
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- W1556887678 date "2006-01-01" @default.
- W1556887678 modified "2023-09-25" @default.
- W1556887678 title "The Pricing of Portfolio Credit Risk" @default.
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- W1556887678 doi "https://doi.org/10.2139/ssrn.926334" @default.
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