Systemic credit risk: What is the market telling us?

Financial Analysts Journal

Volumn 64, Issue 4, 2008, Pages 16-24

  Bhansali, Vineer ^a,b   Gingrich, Robert ^a,b   Longstaff, Francis A ^a,c  

^a CFA ^*

^b PIMCO   (United States)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 49649122896     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v64.n4.2     Document Type: Article

References (4)

1. Bhansali, Vineer. 2008. "Correlation Risk - What the Market Is Telling Us and Does It Make Sense?" In Credit Risk: Models, Derivatives, and Management. Edited by N. Wagner. Financial Mathematics Series, vol. 6. Boca Raton, FL: Chapman and Hall/CRC.
2. Duffie, Darrell, and Nicolai Gârleanu. 2001. "Risk and Valuation of Collateralized Debt Obligations." Financial Analysts Journal, vol. 57, no. 1 (January/February):41-59.
3. Li, David. 2000. "On Default Correlations: A Copula Function Approach." Journal of Fixed Income, vol. 9, no. 4 (March):43-54.
4. Longstaff, Francis A., and Arvind Rajan. 2008. "An Empirical Analysis of the Pricing of Collateralized Debt Obligations." Journal of Finance, vol. 63, no. 2 (April):529-563.