IDEAS home Printed from https://ideas.repec.org/a/adr/anecst/y2016i123-124p175-223.html
   My bibliography  Save this article

Spread Term Structure and Default Correlation

Author

Listed:
  • Patrick Gagliardini
  • Christian Gouriéroux

Abstract

The aim of this paper is to analyse default correlation and its implications for the term structures of corporate bonds and credit derivatives, reconsidering the results of Jarrow, R., and F. Yu [2001] and the related literature. We first provide different characterisations of spread term structures, when the available information corresponds to the default histories of the firms. The approach is then extended to factor models, in both static and a dynamic framework. We discuss in details the links between default correlation and jumps in short term spreads, and how these phenomena depend on the available information.

Suggested Citation

  • Patrick Gagliardini & Christian Gouriéroux, 2016. "Spread Term Structure and Default Correlation," Annals of Economics and Statistics, GENES, issue 123-124, pages 175-223.
    • Handle: RePEc:adr:anecst:y:2016:i:123-124:p:175-223
    DOI: 10.15609/annaeconstat2009.123-124.0175
    as

    Download full text from publisher

    File URL: http://www.jstor.org/stable/10.15609/annaeconstat2009.123-124.0175
    Download Restriction: no
    File URL: https://libkey.io/10.15609/annaeconstat2009.123-124.0175?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    Corporate Bonds; Credit Risk; Default Correlation; Jumps in Intensities; Copula; Credit Derivatives; Stochastic Intensity;
    All these keywords.

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:adr:anecst:y:2016:i:123-124:p:175-223. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Secretariat General or Laurent Linnemer (email available below). General contact details of provider: https://edirc.repec.org/data/ensaefr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.