The determinants of default correlations

DOI10.1016/S0731-9053(08)22006-2MaRDI QIDQ3572014zbMATH OpenFDO

Authors Kanak Patel, Ricardo Hahn Pereira

Publication date 30 June 2010

Published in Econometrics and Risk Management (Search for Journal in Brave)

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; risk measures (91G70) Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50)

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(10)

• An improved approach to evaluate default probabilities and default correlations with consistency
• Default correlations in the Merton model
• From equity to default correlation with taxes
• Correlated defaults, temporal correlation, expert information and predictability of default rates
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Entropy measure of credit risk in highly correlated markets
• Common failings: how corporate defaults are correlated
• Estimating asset correlations from stock prices or default rates -- which method is superior?
• Relationship between managerial sentiments and corporate bankruptcies
• Moody's correlated binomial default distributions for inhomogeneous portfolios

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