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dc.contributor.authorViala, Jean-Renaud
dc.contributor.authorBoulier, Jean-François
dc.contributor.authorBrière, Marie
dc.date.accessioned2011-12-07T13:29:28Z
dc.date.available2011-12-07T13:29:28Z
dc.date.issued2007-11
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7745
dc.language.isoenen
dc.subjectCredit derivativesen
dc.subjectcredit risken
dc.subjectequitiesen
dc.subjectgovernment bondsen
dc.subjectinvestmentsen
dc.subjectAllocationen
dc.subjectportfolioen
dc.subject.ddc332en
dc.subject.classificationjelG13en
dc.subject.classificationjelG24en
dc.subject.classificationjelG11en
dc.titleDo Leveraged Credit Derivatives Modify Credit Allocation ?en
dc.typeCommunication / Conférence
dc.description.abstractenThis paper examines how credit derivatives have changed the construction of an efficient portfolio. Credit derivatives provide a way of gaining exposure to credit risk alone, to the exclusion of interest rate risk. They also permit a relatively easy use of leverage. We examine two types of allocation : the first is a conventional investment in government bonds, corporate bonds (investment grade and high yield) and equities in the United States; the second replaces corporate bonds with credit derivatives, which may also be leveraged. We look at past data on returns, risk and correlations of these investments, and we show that the credit risk component seems to have a strongly diversifying effect relative to the traditional asset classes, i.e. equities and government bonds. We then compute efficient frontiers within a standard mean- variance framework. The results show the advantages of credit derivatives for portfolio diversification, and the usefulness of leveraging this investment to extend the limits of the efficient frontier.en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleEDHEC Symposium « Risk and Asset Management »en
dc.relation.confdate2008-04
dc.relation.confcityNiceen
dc.relation.confcountryFranceen


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