Equity-Credit Correlation Term Structure Calculator

Estimate and term-structure the correlation between equity and credit (CDS spread). Uses joint time series of equity returns and CDS spread changes with DCC-GARCH estimation.

Principal ($)
Annual Rate (%)
Years
Compounding / Year
$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
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How to Use

Enter the values for the scenario you are assessing. Estimate and term-structure the correlation between equity and credit (CDS spread). Uses joint time series of equity returns and CDS spread changes with DCC-GARCH estimation. Use the equity-credit correlation result to inform your calculation.

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Frequently Asked Questions