Common Failings: How Corporate Defaults Are Correlated
网页2007年1月11日 · ABSTRACT. We test the doubly stochastic assumption under which firms' default times are correlated only as implied by the correlation of factors determining their default intensities.
网页First, firms may be exposed to common or correlated risk factors whose co-movements cause correlated changes in conditional default probabilities. Second, the event of default by one firm may be “contagious,” in that one such
网页First, firms may be exposed to common or correlated risk factors whose co-movements cause changes over time in conditional default probabilities that are correlated across firms. Second, the event of default by one firm may be “contagious,” in that this event itself can push other firms toward default.
Common Failings: How Corporate Defaults are Correlated
网页We develop, and apply to data on U.S. corporations from 1979-2004, tests of the standard doubly-stochastic assumption under which firms'default times are correlated only as implied by the correlation of factors determining their default intensities.
网页Understanding how corporate defaults are correlated is particularly important for the risk management of portfolios of corporate debt. For example, to back the per-formance of their loan portfolios, banks retain capital at levels designed to withstand default clustering at extremely high confidence levels, such as 99.9%.
Common Failings: How Corporate Defaults Are Correlated
网页We test the doubly stochastic assumption under which firms’ default times are correlated only as implied by the correlation of factors determining their default intensities.
Common Failings: How Corporate Defaults are Correlated - SSRN
网页2006年1月2日 · We develop, and apply to data on U.S. corporations from 1979-2004, tests of the standard doubly-stochastic assumption under which firms' default times are correlated only as implied by the correlation of factors determining their default intensities.
Common Failings: How Corporate Defaults Are Correlated
网页2007年1月11日 · We test the doubly stochastic assumption under which firms' default times are correlated only as implied by the correlation of factors determining their default intensities. Using data on U.S. corporations from 1979 to 2004, this assumption is violated in the presence of contagion or “frailty” (unobservable explanatory variables that are ...
Common Failings: How Corporate Defaults are Correlated - SSRN
网页2006年1月23日 · Open PDF in Browser. We develop, and apply to data on U.S. corporations from 1979-2004, tests of the standard doubly-stochastic assumption under which firms'default times are c.
Common Failings: How Corporate Defaults Are Correlated
网页We test the doubly stochastic assumption under which firms' default times are correlated only as implied by the correlation of factors determining their default intensities.