Recent developments in credit markets

被引：2

作者：

Brommundt, Bernd ^{[1
]}

Felsenheimer, Jochen ^{[2
]}

Gisdakis, Philip ^{[3
]}

Zaiser, Michael ^{[2
]}

机构：

[1] Univ St Gallen, Swiss Inst Banking & Finance, Rosenbergstr 52, CH-9000 St Gallen, Switzerland

[2] HVB Corp & Markets, Credit Credit Derivat Strategy Team, D-81925 Munich, Germany

[3] HVB Corp & Markets, D-81925 Munich, Germany

来源：

FINANCIAL MARKETS AND PORTFOLIO MANAGEMENT | 2006年 / 20卷 / 02期

关键词：

Credit risk; Correlation risk; Capital structure arbitrage; Credit derivative risk;

D O I：

10.1007/s11408-006-0017-3

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We summarize recent developments in the credit derivative markets. We show the role of dependence between individual debtors in portfolio derivatives in a study of implied correlation. The risk of changing dependence structures between stock and bond markets becomes evident in an example of capital structure arbitrage. How credit derivatives can introduce new risks is illustrated by the example of "overlay" in basket derivatives.

引用

页码：221 / 234

页数：14

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