Dynamic dependence and diversification in corporate credit
Hugues Langlois, Peter Christoffersen, Kris Jacobs, and Xisong Jin – HEC

We propose a methodology that can capture time-varying dependence in a large sample of US corporate credit-risky securities. Using this methodology, we can compare how dependence in the credit market has changed in response to the financial crisis. We can also characterize how dependence in the credit market differ from dependence in the same firm’s equities.

Hugues Langlois

Hugues Langlois joined HEC Paris in 2014 after obtaining his PhD in Finance from McGill University. His main area of research is asset pricing, with a focus on portfolio management, international finance, and credit risk. His work has been published in the Review of Financial Studies and the Journal of Financial & Quantitative Analysis . He has taught Investment Management during his graduate studies, and now teaches Financial Markets at HEC Paris. Hugues also worked for more than five years as a portfolio manager at a financial institution in Canada. To know more…

  
“I study extreme events because of their long-lasting impact on asset prices. This research is important because it leads us to a better understanding of the inner workings of finance markets, especially what determines investor’s portfolio allocation and firms’ cost of capital. My research provides novel ways to measure time-variation in the likelihood of extreme events.”
Extreme events in finance Extreme events in finance