Firm Defaults and the Correlation Effect

European Financial Management

Volumn 9, Issue 3, 2003, Pages 361-378

  Gersbach, Hans ^a   Lipponer, Alexander ^a  

^a UNIVERSITY OF HEIDELBERG   (Germany)

Author keywords

Correlation effect; Credit portfolio management; Default correlations; F47; G11; G33; Macroeconomic shocks; Monte Carlo simulation

Indexed keywords

EID: 85006302276     PISSN: 13547798     EISSN: 1468036X     Source Type: Journal    
DOI: 10.1111/1468-036X.00225     Document Type: Article

References (23)

1. Ahn, D. -H., Boudoukh, J., Richardson, M. And Whitelaw, R., ‘Optimal risk management using options’, Journal of Finance, Vol. 54, No. 1, 1999, pp. 359–375.
2. Allayannis, G. And Ofek, E., ‘Exchange rate exposure, hedging and the use of foreign currency derivatives’ Working Paper(Salomon Center, 1996, pp. 96–118).
3. Altman, E. I. And Saunders, A., ‘Credit risk measurement: Development over the last 20 years’, Journal of Banking and Finance, Vol. 21, 1998, pp. 1721–1742.
4. Box, G. E. P. And Muller, M. E., ‘A note on the generation of random normal deviates’, Journals of Mathematical Statistics., Vol. 29, 1958, pp. 610–611.
5. Crouhi, M., Galai, D. And Mark, R., ‘A comparative analysis of current credit risk models’, Journal of Banking and Finance, Vol. 24, 2000, pp. 59–117.
6. DeMarzo, P. And Duffie, D., ‘Corporate incentives for hedging and hedge accounting’, Review of Financial Studies, Vol. 8, 1995, pp. 743–772.
7. Erlenmaier, U. And Gersbach, H., ‘Default probabilities and default correlations’, Working Paper(University of Heidelberg, 2001).
8. Froot, K., Scharfstein, D. S. And Stein, J. C., ‘Risk management: Coordinating corporate investment and financing policies’, Journal of Finance, Vol. 48, 1993, pp. 1629–1658.
9. Hastings, C., Approximations for Digital Computers(Princeton University Press, 1957).
10. Hellwig, M., ‘Systemische Risiken im Finanzsektor’, in: Finanzmärkte im Spannungs-feld von Globalisierung, Regulierung und Geldpolitik, Schriften des Vereins für Socialpolitik, Gesellschaft für Wirschafts- und Sozialwissenschaften, Neue Folge Band 261, 1998, pp. 123–151.
11. Johnson, N. And Kotz, S., Distributions in Statistics: Continuous Multivariate Distributions(Wiley, 1972).
12. Kealhofer, S., Portfolio Management of Default Risk(KMV Corporation, 1998).
13. Merton, R., ‘On the pricing of corporate debt: The risk structure of interest rates’, Journal of Finance, Vol. 29, 1974, pp. 449–470.
14. May, D. O., ‘Do managerial motives influence firm risk reduction strategies’, Journal of Finance, Vol. 50, 1995, pp. 1275–1290.
15. Mian, S., ‘Evidence on corporate hedging policy’, Journal of Financial and Quantitative Analysis, Vol. 31, 1996, pp. 419–439.
16. Santomero, A. And Vinso, J., ‘Estimating the probability of failure for firms in the banking system’, Journal of Banking and Finance, Vol. 1, 1977, pp. 185–206.
17. Scott, J., ‘The probability of bankruptcy: A comparison of empirical predictions and theoretical models’, Journal of Banking and Finance, Vol. 5, 1981, pp. 317–344.
18. Smith, C. W. And Stulz, R., ‘The determinants of firms’ hedging policies’, Journal of Financial and Quantitative Analysis, Vol. 20, 1985, pp. 391–405.
19. Stulz, R., ‘Managerial discretion and optimal financing policies’, Journal of Financial Economics, Vol. 26, 1990, pp. 3–28.
20. Stulz, R., Derivatives, Financial Engineering, and Risk Management(Cincinnati OH: South-Western College Publishing, 1998).
21. Tufano, P., ‘Who manages risk? An empirical examination of risk management practices in the gold mining industry’, Journal of Finance, Vol. 51, 1996, pp. 1097–1137.
22. Wahrenburg, M. And Niethen, S., ‘Vergleichende Analyse alternativer Kreditrisikomodelle’, Kredit und Kapital, Vol. 2, 2000, pp. 235–257.
23. Wilcox, J. W., ‘A prediction of business failure using accounting data’, Journal of Accounting Research, Vol. 2, 1973.