How Risky are Structured Exposures Compared to Corporate Bonds? Evidence from Bond and ABS Returns

This paper compares the risk of structured exposures with that of defaultable corporate bonds with the same agency ratings. Risk is defined in a variety of ways including return volatility, value at risk, expected shortfall and betas with credit portfolios

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Year of publication:	2011
Authors:	Perraudin, William Robert Maurice
Other Persons:	Van Landschoot, Astrid (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Unternehmensanleihe \| Corporate bond \| Anleihe \| Bond \| Kapitaleinkommen \| Capital income \| Asset-Backed Securities \| Asset-backed securities

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Extent:	1 Online-Ressource (26 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: STRUCTURED CREDIT PRODUCTS: PRICING, RATING, RISK MANAGEMENT AND BASEL II., W. Perraudin, ed., Risk Books, 2004 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 1, 2004 erstellt
Classification:	G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013120005