How Risky are Structured Exposures Compared to Corporate Bonds?

by William Perraudin of Risk Control Limited & Imperial College, and
Astrid Van Landschoot of National Bank of Belgium

May 2004

Abstract: This paper compares the risk of structured exposures with that of defaultable corporate bonds with the same agency ratings. Risk is defined in a variety of ways including return volatility, Value at Risk, Expected Shortfall and betas with credit portfolios.

Keywords: defaultable corporate bonds, risk, VaR, Expected Shortfall.

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