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Diversifying Risks in Bond Portfolios: A Cross-Border Approach
2013
Social Science Research Network
This study recalibrates corporate bond idiosyncratic risks in an international context. Applying a statistically powerful risk decomposition scheme, we show in this study that diversification is improved by the addition of a global risk benchmark. We build a long-run stationary yield spread decomposition scheme which provides better diversification effect. Both the global and domestic risk benchmarks are observable yield spreads and are free of measurement or availability issues. The
doi:10.2139/ssrn.2228718
fatcat:drnkyyv3r5hcbimqglidpw37fy