Correlation in Corporate Defaults: Contagion or Conditional Independence?

167 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Modeling frailty-correlated defaults using many macroeconomic covariates (2011, background): “Default contagion is a possible alternative source of default clustering in observed data, see Jorion and Zhang (2007), Lando and Nielsen (2008), and Boissay and Gropp (2010).”
Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk (2012, unknown): “We then show that the results are robust to controlling for the endogeneity of CDS trading, whereby firms may be selected for such trading due to the potential deterioration in their credit quality.”
The Determinants of Operational Risk in U.S. Financial Institutions (2011, methodology): “We compare 30While DDKS (2007) reject the conditional Poisson model of default arrivals using U.S. corporate default data, Lando and Nielsen (2010) do not reject this assumption using a different specification of the default intensity.”