Viala, Jean-Renaud; Boulier, Jean-François; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2008
This paper examines how credit derivatives have changed the construction of an efficient portfolio. Credit derivatives … credit derivatives, which may also be leveraged. We look at past data on returns, risk and correlations of these investments …. The results show the advantages of credit derivatives for portfolio diversification, and the usefulness of leveraging this …