1. From: Dynamic Dependence and Diversification in Corporate Credit*
Figure 1. Weekly returns on short CDS positions for selected firms. We plot weekly returns on short CDS positions for four selected firms with long time series. We compute returns using Equations (2.2) and (2.3).
From: Dynamic Dependence and Diversification in Corporate Credit*
Rev Financ. Published online July 20, doi: /rof/rfx034
Rev Financ | © The Authors Published by Oxford University Press on behalf of the European Finance Association. All rights reserved. For Permissions, please

2. From: Dynamic Dependence and Diversification in Corporate Credit*
Figure 2. Quantiles of CDS spreads, equity prices, and return volatilities. We plot weekly quantiles across the 215 firms listed in Table I for CDS spreads, equity prices, and their return volatilities from GARCH models. We use a level-NGARCH model for CDS returns, and a NGARCH model for stock returns. In each panel, the black line reports the median across firms for each week, and the gray area shows the IQR across firms. The vertical lines indicate the major events during the sample period listed in Section 2.1.
From: Dynamic Dependence and Diversification in Corporate Credit*
Rev Financ. Published online July 20, doi: /rof/rfx034
Rev Financ | © The Authors Published by Oxford University Press on behalf of the European Finance Association. All rights reserved. For Permissions, please

3. From: Dynamic Dependence and Diversification in Corporate Credit*
Figure 3. Median CDS spread by sector. We report the weekly median CDS spread by sector using the GIC sectors in Table I. We combine the energy and utility sectors. Each panel title indicates the total number of firms available for each sector throughout the sample. Note that the scale differs across sectors.
From: Dynamic Dependence and Diversification in Corporate Credit*
Rev Financ. Published online July 20, doi: /rof/rfx034
Rev Financ | © The Authors Published by Oxford University Press on behalf of the European Finance Association. All rights reserved. For Permissions, please

4. From: Dynamic Dependence and Diversification in Corporate Credit*
Figure 4. Threshold correlations for CDS and equity returns and their AR-GARCH residuals. For each pair of firms we compute threshold correlations on a grid of thresholds defined using the standard deviation from the mean for each firm (horizontal axis). The solid lines show the median threshold correlations across firm pairs, the gray areas mark the IQRs and the dashed lines show the threshold correlations from a bivariate Gaussian distribution with correlation equal to the average for all pairs of firms.
From: Dynamic Dependence and Diversification in Corporate Credit*
Rev Financ. Published online July 20, doi: /rof/rfx034
Rev Financ | © The Authors Published by Oxford University Press on behalf of the European Finance Association. All rights reserved. For Permissions, please

5. From: Dynamic Dependence and Diversification in Corporate Credit*
Figure 5. Median conditional volatility of CDS returns by sector. We report the weekly median conditional volatility of CDS returns by sector using the GIC sectors in Table I. Conditional volatility is estimated using a level-NGARCH model for each firm. We combine the energy and utility sectors. Each panel title indicates the total number of firms available for each sector throughout the sample.
From: Dynamic Dependence and Diversification in Corporate Credit*
Rev Financ. Published online July 20, doi: /rof/rfx034
Rev Financ | © The Authors Published by Oxford University Press on behalf of the European Finance Association. All rights reserved. For Permissions, please

6. From: Dynamic Dependence and Diversification in Corporate Credit*
Figure 6. Quantiles of copula correlations: CDS and equity returns. Using all available pairs of firms we report the weekly median (black line), and IQR (gray area) of the dynamic correlations from the DAC model.
From: Dynamic Dependence and Diversification in Corporate Credit*
Rev Financ. Published online July 20, doi: /rof/rfx034
Rev Financ | © The Authors Published by Oxford University Press on behalf of the European Finance Association. All rights reserved. For Permissions, please

7. From: Dynamic Dependence and Diversification in Corporate Credit*
Figure 7. Quantiles of tail dependence: CDS and equity returns. Using all available pairs of firms we report the median (black line) and IQR (gray area) of the dynamic tail dependence from the DAC model.
From: Dynamic Dependence and Diversification in Corporate Credit*
Rev Financ. Published online July 20, doi: /rof/rfx034
Rev Financ | © The Authors Published by Oxford University Press on behalf of the European Finance Association. All rights reserved. For Permissions, please

8. From: Dynamic Dependence and Diversification in Corporate Credit*
Figure 8. Median copula correlation within sectors: CDS and equity returns. We report the median dynamic copula correlation by sector using the GIC sectors in Table I. The black line shows CDS and the gray line equity correlations. We combine the energy and utility sectors.
From: Dynamic Dependence and Diversification in Corporate Credit*
Rev Financ. Published online July 20, doi: /rof/rfx034
Rev Financ | © The Authors Published by Oxford University Press on behalf of the European Finance Association. All rights reserved. For Permissions, please

9. From: Dynamic Dependence and Diversification in Corporate Credit*
Figure 9. Median lower tail dependence within sectors: CDS and equity returns. We report the median lower tail dependence by sector using the GIC sectors in Table I. The black line shows CDS and the gray line equity tail dependence. We combine the energy and utility sectors.
From: Dynamic Dependence and Diversification in Corporate Credit*
Rev Financ. Published online July 20, doi: /rof/rfx034
Rev Financ | © The Authors Published by Oxford University Press on behalf of the European Finance Association. All rights reserved. For Permissions, please

10. From: Dynamic Dependence and Diversification in Corporate Credit*
Figure 10. Conditional diversification benefits. Credit and Equity Portfolios. 5% Tail. Using equally weighted portfolios of available on-the-run CDX firms in a given week, we compute the 5% CDB using the DAC model for CDS returns (Panel A) and equity returns (Panel B). The credit portfolio sells credit protection by shorting CDS contracts. The dashed line shows the average correlation (on the left-hand axis) and the gray line shows the average volatility (on the right-hand axis). We use the first 2 years of the sample to estimate the unconditional correlation matrix, and thus plot CDB starting in 2004.
From: Dynamic Dependence and Diversification in Corporate Credit*
Rev Financ. Published online July 20, doi: /rof/rfx034
Rev Financ | © The Authors Published by Oxford University Press on behalf of the European Finance Association. All rights reserved. For Permissions, please