The recent interest in portfolio credit risk modelling has concentrated attention on the correlation structure of credit risk. This paper calculates long-holding period correlations for emerging market sovereign spreads and compares these with the correlations of equity market indices for the...

The purpose of this paper is to shed new light on the conflicting empirical evidence on the relationship between credit spreads and Treasury rates. Following a general-to-specific modelling approach, we were unable to accept the presence of a long-run relationship between Baa credit spreads and...

This paper studies the market price of credit risk incorporated into one of the most important credit spreads in the financial markets: interest rate swap spreads. Our approach consists of jointly modeling the swap and Treasury term structures using a general five-factor affine credit framework...