The determinants of default correlations

DOI10.1016/S0731-9053(08)22006-2zbMATH Open1189.91219MaRDI QIDQ3572014FDOQ3572014

Authors: Kanak Patel, Ricardo Hahn Pereira 

Publication date: 30 June 2010

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

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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)

Cited In (5)

• Correlated defaults, temporal correlation, expert information and predictability of default rates
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Estimating asset correlations from stock prices or default rates -- which method is superior?
• Moody's correlated binomial default distributions for inhomogeneous portfolios
• An improved approach to evaluate default probabilities and default correlations with consistency

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