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SUMMARY:Dynamic Dependence and Diversification in Corporate Credit
DTSTART;VALUE=DATE:20140505
DTSTAMP:20260413T212308Z
UID:423f02d81038df9475c8ed06e19dda07ee8f0c1fae21f5ba98f90242
CATEGORIES:Conferences - Seminars
DESCRIPTION:Peter CHRISTOFFERSEN (University of Toronto)\nWe characterize 
 dependence and tail dependence in corporate credit using a new class of dy
 namic 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 dec
 ade of weekly CDS spreads for 215 firms\, we find that copula correlations
  are highly time-varying and persistent\, and that they increase significa
 ntly in the financial crisis and have remained high since. Perhaps most im
 portantly\, tail dependence of CDS spreads increases even more than copula
  correlations during the crisis and remains high as well. The most importa
 nt shocks to credit dependence occur in August of 2007 and in August of 20
 11\, but interestingly these dates are not associated with significant cha
 nges to median credit spreads. The decrease in diversification potential c
 aused by the increase in dependence and tail dependence is large. Finally\
 , we find that the CDS volatility\, correlation and tail dependence measur
 es that we have constructed using the dynamic copula model are important d
 eterminants of credit spreads over time.
LOCATION:UNIL\, Extranef\, room 125 https://planete.unil.ch/plan/?local=EX
 T-125
STATUS:CONFIRMED
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