Download This PaperHow Risky are Structured Exposures Compared to Corporate Bonds? Evidence from Bond and ABS Returns
STRUCTURED CREDIT PRODUCTS: PRICING, RATING, RISK MANAGEMENT AND BASEL II., W. Perraudin, ed., Risk Books, 2004
26 Pages Posted: 29 Sep 2011 Last revised: 17 Nov 2011
Date Written: May 1, 2004
Abstract
This paper compares the risk of structured exposures with that of defaultable corporate bonds with the same agency ratings. Risk is defined in a variety of ways including return volatility, value at risk, expected shortfall and betas with credit portfolios.
Keywords: structured exposures, bonds, ABS, asset backed securities, risk, value at risk, VaR, expected shortfall, defaultable corporate bonds, return volatility
JEL Classification: G12
Suggested Citation: Suggested Citation
Perraudin, William Robert Maurice and Van Landschoot, Astrid, How Risky are Structured Exposures Compared to Corporate Bonds? Evidence from Bond and ABS Returns (May 1, 2004). STRUCTURED CREDIT PRODUCTS: PRICING, RATING, RISK MANAGEMENT AND BASEL II., W. Perraudin, ed., Risk Books, 2004, Available at SSRN: https://ssrn.com/abstract=1935294
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