Wyjątkowo seminarium odbywa się razem z Krakow Quant Hub Seminar we wtorek 10.01.2017
Krakow Quant Hub Seminar 10.01.2017
dodano: 05/01/2017
przez: Dariusz Zawisza
Speaker : dr Marcin Jaskowski
Title : The puzzle of Cross-Sectional Dependence in Credit Spread Changes.
Time: January the 10th, 6:15 p.m. (start at 5:30 p.m. in 1122)
Place: Department of Mathematics and Computer Science, ul.
Lojasiewicza 6, Lecture Room 1094 (first floor)
Abstract: In order to understand credit risk puzzle and the apparent segmentation of the stock market from the credit markets, we need to be able to assess the strength of cross-sectional dependence in credit spreads. This turns out to be a non-trivial task due to the extreme data sparsity typical for any panel of credit spreads extracted from corporate bond transactions. The problem of data sparsity led previous researchers to some erroneous conclusions which we point out. Understanding previous pitfalls is an important first step allowing us to provide a new estimate of the latent factor in credit spread changes and its characteristics.
