Correlated Default Risk

By Sanjiv Ranjan Das, Laurence Freed, Gary Geng, Nikunj Kapadia. 2006

177 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/40b9c08dcc578ba47da246f13641ad34dec1f9b0

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In Finance

1. A. Mortensen

Citations in the corpus

• Business and default cycles for credit risk (2003, unknown): “See also Das, Freed, Geng, and Kapadia (2001) for empirical evidence.”
• Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings (2005, unknown): “Papers following this approach include Duffie and Singleton (1999), Duffie and Garleanu (2001), and Jarrow and Yu (2001), to name a few.”
• Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models (2005, background): “7Recent empirical evidence in Das et al. (2004) documents that high grade companies tend to have higher default correlations than low grade companies, but there are large variations in the correlation levels across companies within a given credit quality.”