Common failings: How corporate defaults are correlated

Journal of Finance

Volumn 62, Issue 1, 2007, Pages 93-117

  Das, Sanjiv R ^a   Duffie, Darrell ^b   Kapadia, Nikunj ^c   Saita, Leandro ^d  

^a SANTA CLARA UNIVERSITY   (United States)

^b STANFORD UNIVERSITY   (United States)

^c UNIVERSITY OF MASSACHUSETTS   (United States)

^d LEHMAN BROTHERS   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33846252686     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2007.01202.x     Document Type: Article

References (39)

1. Akhavein, Jalal D., Ahmet E. Kocagil, and Matthias Neugebauer, 2005, A comparative empirical study of asset correlations, Working paper, Fitch Ratings, New York.
2. Allen, Linda, and Anthony Saunders, 2003, A survey of cyclical effects in credit risk measurement models, BIS Working paper 126, Basel Switzerland.
3. Bharath, Sreedhar, and Tyler Shumway, 2005, Forecasting default with the KMV-Merton model, Working paper, University of Michigan.
4. Billingsley, Patrick, 1986, Probability and Measure (Wiley, New York, II).
5. Cathcart, Lara, and Lina El Jahel, 2002, Defaultable bonds and default correlation, Working paper, Imperial College.
6. 2 tests, Biometrics 10, 417-451.
7. Collin-Dufresne, Pierre, Robert Goldstein, and Jean Helwege, 2003, Is credit event risk priced? Modeling contagion via the updating of beliefs, Working paper, Haas School, University of California, Berkeley.
8. Collin-Dufresne, Pierre, Robert Goldstein, and Julien Huggonier, 2004, A general formula for valuing defaultable securities, Econometrica 72, 1377-1407.
9. Couderc, Fabien, and Olivier Renault, 2004, Times-to-default: Life cycle, global and industry cycle impacts, Working paper, University of Geneva.
10. Das, Sanjiv, Laurence Freed, Gary Geng, and Nikunj Kapadia, 2006, Correlated default risk, Journal of Fixed Income 16, 7-32.
11. Davis, Mark, and Violet Lo, 2001, Infectious default, Quantitative Finance 1, 382-387.
12. deServigny, Arnaud, and Olivier Renault, 2002, Default correlation: Empirical evidence, Working paper, Standard and Poors.
13. Duffie, Darrell, Leandro, Saita, and Ke Wang, 2005, Multi-period corporate default prediction with stochastic covariates, Working paper, Stanford University.
14. Giesecke, Kay, 2004, Correlated default with incomplete information, Journal of Banking and Finance 28, 1521-1545.
15. Giesecke, Kay, and Lisa Goldberg, 2005, A top-down approach to multiname credit, Working paper, Cornell University.
16. Gordy, Michael, 2003, A risk-factor model foundation for ratings-based capital rules, Journal of Financial Intermediation 12, 199-232.
17. Jarrow, Robert, and Fan Yu, 2001, Counterparty risk and the pricing of defaultable securities, Journal of Finance 56, 1765-1800.
18. Jarrow, Robert, David Lando, and Fan Yu, 2005, Default risk and diversification: Theory and applications, Mathematical Finance 15, 1-26.
19. Kashyap, Anil, and Jeremy Stein, 2004, Cyclical implications of the Basel-II capital standards, Federal Reserve Bank of Chicago, Economic Perspectives 28, 18-31.
20. Kusuoka, Shigeo, 1999, A remark on default risk models, Advances in Mathematical Economics 1, 69-82.
21. Lang, Larry, and Rene Stulz, 1992, Contagion and competitive intra-industry effects of bankruptcy announcements, Journal of Financial Economics 32, 45-60.
22. Lennox, Clive, 1999, Identifying failing companies: A reevaluation of the logit, probit, and DA approaches, Journal of Economics and Business 51, 347-364.
23. Lo, Andrew, 1986, Logit versus discriminant analysis: Specification test and application to corporate bankruptcies, Journal of Econometrics 31, 151-178.
24. Lucas, Douglas J., 1995, Default correlation and credit analysis, The Journal of Fixed Income 5, 76-87.
25. McDonald, Cynthia, and Linda M. Van de Gucht, 1999, High yield bond default and call risks, Review of Economics and Statistics 81, 409-419.
26. Merton, Robert C., 1974, On the pricing of corporate debt: The risk structure of interest rates, Journal of Finance 29, 449-470.
27. Meyer, Paul-André, 1971, Demonstration simplifiée d'un theorem Knight, in Séminaire de Probabilités V, Lecture Note in Mathematics 191, Springer-Verlag Berlin, 191-195.
28. Prahl, Juergen, 1999, A fast unbinned test on event clustering in Poisson processes, Working paper, University of Hamburg.
29. Protter, Philip, 2003, Stochastic Integration and Differential Equations (Springer, New York, II).
30. Schönbucher, Philipp, 2003, Information driven default contagion, Working paper, Eidgenössische Technische Hochschule, Zurich.
31. Schönbucher, Philipp, and Dirk Schubert, 2001, Copula dependent default risk in intensity models, Working paper, Bonn University.
32. Shumway, Tyler, 2001, Forecasting bankruptcy more accurately: A simple hazard model, Journal of Business 74, 101-124.
33. Sobehart, Jorge, Roger Stein, V. Mikityanskaya, and L. Li, 2000, Moody's public firm risk model: A hybrid approach to modeling short term default risk, Moody's Investors Service, Global Credit Research, Rating Methodology, March.
34. Terentyev, Sergey, 2004, Asymmetric counterparty relations in default modeling, Working paper, Stanford University.
35. Vasicek, Oldrich, 1987, Probability of loss on loan portfolio, Working paper, KMV Corporation.
36. Yu, Fan, 2003, Default correlation in reduced form models, Journal of Investment Management 3, 33-42.
37. Yu, Fan, 2005, Accounting transparency and the term structure of credit spreads, Journal of Financial Economics 75, 53-84.
38. Zhang, Gaiyan, 2004, Intra-industry credit contagion: Evidence from the credit default swap market and the stock market, Working paper, University of California, Irvine.
39. Zhou, Chunsheng, 2001, An analysis of default correlation and multiple defaults, Review of Financial Studies 14, 555-576.