Jerome Collet

Lombard Odier Darier Hentsch & Cie - Lombard Odier Investment Management

Quant Portfolio Manager

Queensberry House

3 Old Burlington Street

London , W1S 3AB

United Kingdom

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Sector Spillovers in Credit Markets

Number of pages: 16 Posted: 25 Jan 2017
Jerome Collet and Florian Ielpo
Lombard Odier Darier Hentsch & Cie - Lombard Odier Investment Management and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
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Citation 2

Abstract:

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Credit spreads, volatility spillovers, credit sectors, connectedness, systemic risk, markov switchin