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The Structure of Credit Risk: Spread Volatility and Ratings Transitions
Company: Bank of England
Year Of Publication: 2001
Month Of Publication: April
Pages: 44
Download Count: 780
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 5-15-2005
Publisher: Administrator
Summary
Knowing the relative riskiness of different types of credit exposure is important forpolicy-makers designing regulatory capital requirements and for firms allocating economiccapital. This paper analyses the risk structure of credit exposures with differentmaturities and credit qualities. We focus particularlyon risks associated with (i) ratingstransitions and (ii) spread changes for given ratings. We show that, for high-qualitydebt,most risk stems from spread changes. This is significant because several recentlyprop osedcredit risk models assume no spread risk.
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Kiesel, Rudiger T. Sign in to follow this author
Perraudin, William Sign in to follow this author
Taylor, Alex Sign in to follow this author
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