How Risky are Structured Exposures Compared to Corporate Bonds?
by William Perraudin of Risk Control Limited & Imperial College, and
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.