News Column

Data on General Finance Detailed by M. Boudreault and Co-Authors (Contagion effect on bond portfolio risk measures in a hybrid credit risk model)

July 26, 2014



By a News Reporter-Staff News Editor at Investment Weekly News -- A new study on General Finance is now available. According to news originating from Montreal, Canada, by VerticalNews correspondents, research stated, "This paper illustrates how modelling the contagion effect among assets of a given bond portfolio changes the risk perception associated to it. This empirical work is developed in a hybrid credit risk framework that incorporates recovery rate risk."

Our news journalists obtained a quote from the research, "Dependence structures among firms and between external shocks affecting firms together are considered. The presence of correlations among firm leverage ratios and the interrelation between default probabilities and recovery rates produces clusters of defaults with low recovery rates. This has a major impact on standard risk measures such as Value-at-Risk and conditional tail expectation."

According to the news editors, the research concluded: "Consequently, an appropriate measurement of the contagion has a tremendous effect on the capital requirement of many financial institutions."

For more information on this research see: Contagion effect on bond portfolio risk measures in a hybrid credit risk model. Finance Research Letters, 2014;11(2):131-139. Finance Research Letters can be contacted at: Academic Press Inc Elsevier Science, 525 B St, Ste 1900, San Diego, CA 92101-4495, USA. (Elsevier - www.elsevier.com; Finance Research Letters - www.elsevier.com/wps/product/cws_home/672908)

The news correspondents report that additional information may be obtained from M. Boudreault, Stand Life Canada, Corp Actuarial Department, Montreal, PQ H3G 1G2, Canada. Additional authors for this research include G. Gauthier and T. Thomassin.

Keywords for this news article include: Quebec, Canada, Montreal, General Finance, North and Central America

Our reports deliver fact-based news of research and discoveries from around the world. Copyright 2014, NewsRx LLC


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Source: Investment Weekly News


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