Common Failings: How Corporate Defaults are Correlated

By Sanjiv Ranjan Das, Darrell Duffie, Nikunj Kapadia, Leandro Saita. 2007

657 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/56af660c12faa1a370cc434b3a2a35277db8b0b5

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Citations in the corpus

Exploring the sources of default clustering (2018, neutral): “Das et al. (2007) find that the degree of clustering in the data cannot be explained by firms’ joint exposure to systematic factors on its own. However, their tests ignore the potential influence of yet unidentified risk factors (i.e., frailty). There is in fact strong evidence that some of the syst”
Default clustering in large portfolios: Typical events. (2011, background): “Das, Duffie, Kapadia and Saita [5] show that this mechanism is responsible for a large amount of corporate default clustering in the U.S.”
A framework for assessing the systemic risk of major financial institutions (2009, background): “Finally, PDs have a positive effect on correlations, as it should be — defaults are usually clustered (Das et al. (2007)).”
Modeling frailty-correlated defaults using many macroeconomic covariates (2011, background): “We therefore strengthen the finding of Das et al. (2007) in the sense that even a very large amount of macroeconomic and financial information while helpful - is not sufficient to explain all observed default clustering. A dynamic latent component is needed. Given the large amount of macroeconomic i”
Multiperiod Corporate Default Prediction - A Forward Intensity Approach (2012, neutral): “t=0 Li,t( (s)), s = 0, 1, ⋅ ⋅ ⋅ , − 1 (13) where Li,t( (s)) =1{t0i≤t, Ci>t+s+1} exp [−fit(s)Δt] + 1{t0i≤t, Di= Ci=t+s+1} {1− exp [−fit(s)Δt]} + 1{t0i≤t, Di ∕= Ci, Ci=t+s+1} exp [−fit(s)Δt] + 1{t0i>t} + 1{ Ci<t+s+1}”
Competition and Diversification Effects in Supply Chains with Supplier Default Risk (2006, background): “The empirical evidence of the correlation among financial defaults is discussed by Lucas (1995), deServigny and Renault (2002), and the corporate default clustering is studied by Das et al. (2006). If, however, the primary purpose of having multiple suppliers is to increase competition, then wholesa”
Affine Point Processes and Portfolio Credit Risk (2010, neutral): “[14] test a doubly stochastic model whose features are similar to those of the models endorsed by the regulatory authorities to estimate portfolio credit risk.”
The Levered Equity Risk Premium and Credit Spreads: A Unified Framework (2010, methodology): “Duffie, Saita, and Wang (2007) and Das et al. (2008)).”
Frailty Correlated Default (2009, neutral): “Das et al. (2007), using roughly the same data studied here, provide evidence that defaults are significantly more correlated than would be suggested by the assumption that default risk is captured by the observable covariates.”
Time-Changed Birth Processes and Multi-Name Credit Derivatives (2008, background): “Das et al. (2007) show that a doubly stochastic Poisson model similar to those widely used for the calculation of risk capital, tends to underestimate the probability of large losses, and thus may lead to under-capitalization.”