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Colloquium Series |
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Credit Contagion or Credit Confusion? Evidence from Fixed Income Markets (Nov. 06, 2008)
Who : Jeff Hamrick
Location : EH 205, 4pm
Are different slices of fixed income markets more dependent during times of crisis than during normal times? We call this increase in dependence during times of crisis credit contagion, and define this concept through a local correlation function very similar to the usual correlation coefficient. Surprisingly, an analysis of bond yield spreads, bond indices, credit default swap indices, and credit default swaps suggests that fixed income markets have not experienced credit contagion during crises like the 2007-2008 subprime mortgage credit crisis. Instead, these measures have tended to become less correlated or even conditionally uncorrelated---a concept we call credit confusion.
Refreshments will be served @ 3:30 in room 214 Eliz.
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Computer Security (Apr. 25, 2008)...
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AI and Robotics: Theory, Practice, Applications, and Interesting Projects (Apr. 09, 2008)...
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