英文文献：Dynamic Diversification in Corporate Credit-企业信贷动态多元化
英文文献作者：Peter Christoffersen,Kris Jacobs,Xisong Jin,Hugues Langlois
英文文献摘要：
We characterize diversification in corporate credit using a new class of dynamic copula models which can capture dynamic dependence and asymmetry in large samples of firms. We also document important differences between credit spread and equity return dependence dynamics. Modeling a decade of weekly CDS spreads for 215 firms, we find that copula correlations are highly time-varying and persistent, and that they increase significantly in the financial crisis and have remained high since. Perhaps most importantly, tail dependence of CDS spreads increase even more than copula correlations during the crisis and remain high as well. The most important shocks to credit dependence occur in August of 2007 and in August of 2011, but interestingly these dates are not associated with significant changes to median credit spreads.

利用一种新的动态联结模型刻画了企业信贷多样化的特征，该模型可以捕捉大样本企业的动态依赖性和不对称性。我们还记录了信贷利差和股权回报依赖动力学之间的重要差异。对215家公司进行十年的CDS周价差建模，我们发现关联关系具有高度时变和持久性，并且在金融危机期间显著增加，此后一直保持在高位。或许最重要的是，在危机期间，CDS息差的尾部依赖程度甚至超过了关联度，而且仍处于高位。对信贷依赖最重要的冲击发生在2007年8月和2011年8月，但有趣的是，这些日期与信贷利差中值的重大变化没有关联。