Tail-risk skewness, rather than volatility, is correlated with risk premiums
Managed deals could be next, but market's potential is expected to be limited
ABSTRACT We present a unified framework to study the effect of the correlation between interest rate volatility and counterparty default probability on the credit risk of collateralized interest rate...
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EU stress tests showed €34.5 billion notional legacy book
Fears relationship between credit indexes and constituents becoming more tenuous
New analysis shows CDOs can withstand high levels of correlation – what they can’t cope with, though, is a sudden change in risk appetite
Idea that bank retreat loosens correlation ‘doesn’t make any sense’
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