TY  - JOUR
AB  - Correlations are the main drivers for credit portfolio risk and constitute a major element in pricing credit derivatives such as synthetic single-tranche collateralized debt obligation swaps. This study suggests a dynamic panel regression approach to model and forecast implied correlations. Random effects are introduced to account for unobservable time-specific effects on implied tranche correlations. The implied-correlation forecasts of tranche spreads are compared to forecasts using historical correlations from asset returns. The empirical findings support our proposed dynamic mixed-effects regression correlation model. © 2013 Wiley Periodicals, Inc.
AU  - Löhr, S
AU  - Mursajew, O
AU  - Rösch, D
AU  - Scheule, H
DA  - 2013/11/01
DO  - 10.1002/fut.21626
EP  - 1023
JO  - Journal of Futures Markets
PY  - 2013/11/01
SP  - 994
TI  - Dynamic implied correlation modeling and forecasting in structured finance
VL  - 33
Y1  - 2013/11/01
Y2  - 2026/11/03
ER  -